AN EMPIRICAL ANALYSIS OF VOLATILITY AND RETURNS IN THE INDIAN STOCK MARKET: EVIDENCE FROM THE BSE SENSEX

Abstract

In today's time, most of the market participants are trading in the BSE Sensex Stocks segment which makes it essential for them to understand the behavior of volatility, both pre and post-budget, especially for stock trading. BSE Sensex is India’s major benchmark index for equity market. The present study attempts to analyse whether the Historical Sensex index returns has an explanatory predication for today’s Sensex returns. Daily data of BSE closing prices from 1st January 2022 to 1st January 2024 has been used for the study. BSE Sensex returns have been assessed as the first difference of the log of the daily closing prices. In this research, GARCH (1, 1) has been established to model the volatility and return of BSE Sensex index returns. The results revealed that Past Sensex returns have GARCH effect in the today’s Sensex index returns.