Abstract
An attempt has been made in this paper to explain the stock market volatility at the individual script level and at the aggregate indices level. The empirical analysis has been done by using Autoregressive conditional heteroscedasticity model (ARCH), Generalised autoregressive conditional heteroscedasticity (GARCH) model and ARCH in Mean model and it is based on daily data for the time period from January 1990 to November 2004. The analysis reveals the same trend of volatility in the case of aggregate indices and five different sectors such as electrical, machinery, mining, non-metalic and power plant sector. The GARCH (1,1) model is persistent for all the five aggregate indices and individual company.
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