{"title":"A Comparison of Pre-Recession and Post-Recession Volatility in NIFTY","authors":"Shanki Jain, M. Dash","doi":"10.2139/ssrn.1988809","DOIUrl":null,"url":null,"abstract":"Volatility is one of the key factors for an investor before investing in the capital market. High volatility is seen as a sign of investor nervousness, while low volatility is sign of confidence. Contrary to popular perception, volatility has not gone up in the recent past. This study analyses the volatility of NSE-NIFTY and its associated fifty stocks for a period of seven years (April 2004 - March 2011) using GARCH model. The study also compares the pre-recession and post-recession volatility, and analyses the effect of the global financial crisis on NIFTY volatility.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"5 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2012-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.1988809","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
Abstract
Volatility is one of the key factors for an investor before investing in the capital market. High volatility is seen as a sign of investor nervousness, while low volatility is sign of confidence. Contrary to popular perception, volatility has not gone up in the recent past. This study analyses the volatility of NSE-NIFTY and its associated fifty stocks for a period of seven years (April 2004 - March 2011) using GARCH model. The study also compares the pre-recession and post-recession volatility, and analyses the effect of the global financial crisis on NIFTY volatility.
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