Abstract
The Generalised Auto-regressive Conditional Heteroscedastic (GARCH) models were used to analyse if there are any changes in the pattern of returns and volatility before and after 1995-96, in stock market in India. Using the daily returns data from National Stock Exchange it was found that the volatility after the period 1995-96 is less compared to the previous period. It was also found that GARCH(1,1) model gives the best fit according to all the model selection criteria.
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