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Stock Index Volatility Using Garch Model of FMCG Sector-Evidence from NSE India

R. Subashini and Dr. Rajeswari Krishnan


Abstract:

Stock Market has an important role in the economic development of our country. The objective of the study is to examine the impact of volatility using Garch Model in FMCG (Fast Moving Consumer Goods) Sector. The indices selected for the study is Nifty FMCG. Data collected for the period 1st April 2014 to 31st March 2016. The present study attempts to analyze this volatility by selecting the appropriate model GARCH model. Volatility is the most popular traditional measure of risk. The study results exhibited that Nifty FMCG index does not confirms volatility presence by using GARCH (1, 1) model. The various analysis where used for the study like Unit- root test, LM Test (Breusch-Godfrey Serial Correlation LM Test), Heteroscedasticity test. The empirical findings revealed that volatility is not present in the Nifty FMCG index from the period of 1stApril 2014 to 31stMarch2016.

Keywords: Return, Volatility, ARCG, GARCH, Heteroscedasticity, Price, Stock Index.

Volume: 5 | Issue: 1

Pages: 440-450

Paper ID : IJPPAS105092

Issue Date: February , 2017

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