Modelling Volatility of BSE Realty Index Using Conditional Heteroscedasticity Models

This study empirically examines the nature of volatility in BSE Realty Index using daily closing price of BSE Realty Index for five and half years period from January 2011 to June 2016. The study employs both conditional heteroscedasticity models, both symmetric and asymmetric, for the analysis. The results show that the volatility is persistent in the Index return indicating the presence of volatility clustering in the series. Further, the paper reports the presence of asymmetric or leverage effect in the series as the leverage coefficient γ is significant in EGARCH model indicating that negative shocks have significant effect on volatility. However, the study does not find significant risk-return trade-off in the series