GARCH BASED VOLATILITY MODELING IN BANK’S STOCK
Keywords:
ARCH Model, GARCH Model, Volatility, Volatility PersistenceAbstract
Volatility in the stock return is an integral part of stock market with the alternating bull and bear phases. In the bullish market, the share prices soar high and in the bearish market share prices fall down and these ups and downs determine the return and volatility of the stock market. Volatility is a symptom of a highly liquid stock market. Volatility of returns in financial markets can be a major stumbling block for attracting investment. In this study, we use the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model to model volatility. The analysis was done using a time series data for the period 1st January 2008 to I0th April 2012 on 18 banks in India and empirical findings revealed that all banks stock return series reports an evidence of time varying volatility which exhibits clustering and high persistence.
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