Volatility index is a measure of markets expectation of volatility over the near-term. It is a forward looking instrument and depicts the expected market volatility over the next 30 days. The constant ups and downs in the financial markets are a cause of concern for most investors. Thus, the...

Stock market volatility has always been an area of concern for market participants and policy regulators. Through this paper, an attempt has been made to model the volatility in the Indian equity market by employing the standard GARCH(1, 1) model. The paper also investigates whether the...