Volatility is plays a vital role in stock market's bull and bear phases. Although existence of volatility is the symbol of inefficient market, high volatility will also complements high return. Hence volatility modeling is vital for investment decisions and construction of portfolio. Several...

The study uses three volatility models of the GARCH family to examine the volatility behavior and in particular volatility persistence or long memory of the return series of four Bombay Stock Exchange (BSE) sectoral indices. The study uses the daily data from January 1, 2002 to December 31,...