Dissecting Volatility: Do Sectoral Dynamics Drive the Nifty 50 Index? A GARCH Family Approach
Year: 2025
Type: conference-paper
Abstract: Volatility in financial markets is crucial factor impacting portfolio management and investment decisions. This study investigates the impact of sectoral dynamics on Nifty 50 volatility using GARCH family models. Daily log returns of Nifty50, Bank nifty, Fin nifty and Nifty midcap is taken over a one-year sample period. Result shows the existence of ARCH effect, with volatility responding to past shocks. GARCH results shows that sectoral log returns do not significantly impact the nifty50 volatility. EGARCH effects shows significant leverage effect indicating negative shocks have more impact on volatility than positive shocks.
Author: K A Dhanya
Institution: Christ University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W6912342838
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