Authors

1. Dr. Shalini Talwar
2. Vartica Khandelwal

Affiliation

• Associate Professor Finance K J Somaiya Institute of Management Studies and Research Mumbai.
• PGDM Student K J Somaiya Institute of Management Studies and Research Mumbai.

Abstract

This study analyses the volatility which exists in the Stock Market across the globe, the importance of measuring such volatility and the significance of accurate estimation of volatility of stock market in helping analysts take informed decision for trading, investing and hedging. In the current study, two stock indices representing their respective stock markets have been analysed. Of the two stock market indices chosen for the study, one is S&P BSE SENSEX, an index of the Indian Stock Market and the other is Dow Jones Industrial Average, an index of the US stock market. The model used for volatility estimation in the current study is the symmetric GARCH (1,1) model. The estimations show that the two indices exhibit almost same volatilities during the period under study, namely, January 2013 to December 2015.

Keywords

Augmented Dickey Fuller test, DJIA, GARCH, , SENSEX,, Stock market ,, , Unit root, , Volatility

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