• Christopher Devakumar
• Dr. Anuradha P.S
• Mr. Srinivas P.V

Stock markets in India are recently in news for all the bad reasons. The one important reason is unpredictable volatility observed for painful long period. Investors losing their money and traders getting into margin crisis have prompted the government institutions to relook the regulatory measures. However, this heavy fluctuation in Indian market is not a new story. It had its origin back in 1990’s. All the types of interim measures did not solve this issue but continue to capture the limelight of all the newspapers. This gave us an idea that in a matured and developed stock market, this volatility would not disturb the investors. Hence, we thought of analyzing the volatility of stock and market volatility using powerful tools like econometrics. From this, we could be able to list out the reason why it is similar or dissimilar in different countries. Most the investors are looking for foreign investments in the recent past. Hence it becomes very important for an investor and for the business analyst to know the volatility fluctuation in the respective country index. For the present study we will consider Nifty index closing prices data for a period of one year 2019-2020 for selected countries including BSE Sensex. In order to test the data, we have followed tests like Ng-Perron test and ADF model for testing the existence of Stationary, further ARCH will be tested with Ljung-Box Q-Test and Engle’s ARCH Test as these tests are vibrant. In order to study the volatility dynamics in the data, we will incorporate the GARCH family models like, GARCH, EGARCH, TARCH and PGARCH

Volatility, GARCH, Econometric Models

"AN EMPIRICAL ANALYSIS ON VOLATILITY ESTIMATION USING ECONOMETRIC MODELS ON TEN SELECTED COUNTRY’S INDICES", International Journal of Emerging Technologies and Innovative Research (www.jetir.org), ISSN:2349-5162, Vol.8, Issue 3, page no.774-796, March-2021, Available :http://www.jetir.org/papers/JETIR2103106.pdf

"AN EMPIRICAL ANALYSIS ON VOLATILITY ESTIMATION USING ECONOMETRIC MODELS ON TEN SELECTED COUNTRY’S INDICES", International Journal of Emerging Technologies and Innovative Research (www.jetir.org | UGC and issn Approved), ISSN:2349-5162, Vol.8, Issue 3, page no. pp774-796, March-2021, Available at : http://www.jetir.org/papers/JETIR2103106.pdf