Volatility Clustering and Persistence of Volatility in National Stock Exchange Market of India

Abstract

The paper examines the volatility clustering, leverage effect and persistence of volatility for the NSE three broad market indices by using GARCH models. It reveals that the volatility in these indices exhibits characteristics like volatility clustering, asymmetry effect and persistence of volatility in their daily return. It reveals that both the recent as well as past news have an impact on volatility of these indices. It also finds the existence of leverage effect indicating that the negative shocks or bad news have more impact on volatility than positive shocks or good news.