• Dr. Sangeeta

This paper aims to analyze the impact of sub-prime crisis on Indian stock market. The paper divided the time period into three parts: pre-crisis period (From April, 2005 to June, 2007); during the crisis period (From July, 2007 to Dec, 2010) and post crisis period (From Jan, 2011 to June, 2013). Then to study the impact on NSE (Nifty 50) Index and selected Indices firstly, the normality test was applied on all sectoral indices. Histogram and Jarque – Bera statistics showed that data was not normal for all indices in all the three periods, but variations were high during the crisis period for all indices. ADF test results showed that the series were stationary in pre, during and post crisis period. Next ARCH LM tests confirmed the ARCH effect was presents in all indices for pre, during and post crisis period. After confirmation of ARCH effect E-GARCH model was applied to measure the asymmetric behavior of volatility in selected stock indices was a best fit model among the three models on the basis of less AIC and SC values criteria.

Crisis, E-GARCH, Volatility, Indices

"Application of E-GARCH Model On Indian Stock Indices - Pre, During and Post U.S. Sub-Prime Crisis Period", International Journal of Emerging Technologies and Innovative Research (www.jetir.org), ISSN:2349-5162, Vol.6, Issue 6, page no.335-352, June 2019, Available :http://www.jetir.org/papers/JETIR1907509.pdf

"Application of E-GARCH Model On Indian Stock Indices - Pre, During and Post U.S. Sub-Prime Crisis Period", International Journal of Emerging Technologies and Innovative Research (www.jetir.org | UGC and issn Approved), ISSN:2349-5162, Vol.6, Issue 6, page no. pp335-352, June 2019, Available at : http://www.jetir.org/papers/JETIR1907509.pdf