Abstract
This study was aimed at estimating the conditional variance of stock price returns in India using PGARCH model. Ten companies with highest market capitalization were chosen from National Stock Exchange (NSE). The data for a period from 2006 to 2016 were collected from PROWESS database. Volatility clustering feature was found in the estimated volatility of stock returns. The stock return volatility was also found with leverage or asymmetric effect. The residual diagnostic test (ARCH LM test) after conditional volatility estimation confirms the efficiency of PGARCH model.
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