VOLATILITY CLUSTERING OF SELECT SECTORAL INDICES IN THE BSE STOCK MARKET

Abstract

Volatility is a standard measure of financial vulnerability and it plays a vital role in analyzing the risk of the securities market. It is traditionally measured using the standard deviation, which indicates how the price of a stock is clustered around the mean or moving average. The intent of the study is to analyse the volatility clustering of six select sectoral indices such as S&P BSE AUTO (Automobile), S&P BSE BANKEX (Bank) , S&P BSE FMCG (Fast Moving Consumer Goods), S&P BSE IT (Information Technology), S&P BSE METAL ( Metals), and S&P BSE OIL & GAS (Oil & Gas Industries). A sample of 2726 days of observations for 11 years period from 03.01.2011 to 31.12.2021 has been taken for the study. The econometric model namely ARCH and GARCH have been applied to analyse the data. The result of the study reveals the presence of volatility clustering in the select six sectoral indices. Metal Sector has shown the higher phase of volatility.