Abstract
Stock market volatility has its existence from the long time but its complete eradication is not possible, the only thing which can be done is just to know its behavior and pattern that how it behaves. The present study is aimed to understand the nature and different patterns of volatility in Indian equity market. The daily observations comprising of closing data of SENSEX of Bombay Stock Exchange and S&P CNX Nifty of National Stock Exchange for the period of 10 years i.e. from January 2003 to December 2012 is used for analysis. The data was collected from the websites www.bseindia.com and www.nseindia.com. The present study is attempted to examine the volatility of returns in Indian stock market. GARCH models were used to see the volatility of Indian equity market. It was found that there was spillover of information in the Indian stock market and with the significant coefficient of dummy in improved model. It was concluded that negative shocks do have greater impact on conditional volatility compared to positive shocks of the same magnitude in the Indian stock market.
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