Financial Modelling of BSE-SENSEX Volatility using ARMA, ARCH and TGARCH Model

Financial decisions taken for the future depend upon the perception of the behaviour of the random variables and the estimation of the variance. The key purpose of the current study is to examine the behaviour and nature of the Indian stock index –SENSEX with the help of GARCH model. The secondary d...

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Bibliographic Details
Published inPacific Business Review International Vol. 16; no. 8
Main Authors Safi, Kahkasha, Verma, Shraddha, Kumar, Abhishek
Format Journal Article
LanguageEnglish
Published Udaipur Pacific Academy of Higher Education and Research 01.02.2024
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Summary:Financial decisions taken for the future depend upon the perception of the behaviour of the random variables and the estimation of the variance. The key purpose of the current study is to examine the behaviour and nature of the Indian stock index –SENSEX with the help of GARCH model. The secondary data –SENSEX prices are collected from the official website of BSE for a period ranging from 2011-2020. The result indicates the existence of volatility assembling and persistence. The tail of the series is fatter along the left side and T-GARCH explains that the negative and wicked news affect the stock market more than the good news. We conclude that investors should frame their investment tactics by evaluating the current news in the market and predict the future movements in the market so as to receive maximum possible returns.
ISSN:0974-438X