Asymmetric Conditional Volatility Estimation of Stocks in India

This study was aimed at estimating the conditional variance of stock price returns in India using PGARCH model. Ten companies with highest market capitalization were chosen from National Stock Exchange (NSE). The data for a period from 2006 to 2016 was collected from Prowess database. Auto-regressive and volatility clustering features were found in the estimated volatility of stock returns. Positive innovation in stock returns seems to be leading to a higher next period volatility which is contrast to the general expectation. The diagnostic tests after conditional volatility estimation confirms the efficiency of PGARCH model