Comparative Study of Conditional Volatility of Indian and US Stock Markets Using Garch (1, 1) Model

Abstract

Change is the most eternal phenomenon. An economy is sustainable only when it withstands the change and takes the change into its own stride. Indian economy has four such major changes in last two decades. This study is an attempt to find out how Indian securities market has faced these changes. Volatility is one of the best measures to study the impact of change on the securities market. We have used time-varying variance based GARCH process to capture the change in the volatility and study its impact on the Indian securities market. Further, change in the volatility of US securities market has been compared with change in volatility of Indian securities market at different time of uproar in the Indian Economy. It has been found that co-movement in terms of conditional volatility in both the market is not prominent.