Factual Analysis of Risk, Return based on Volatility of Bank Nifty Index and Scrips in Bank Nifty with the context of National Stock Exchange, India

Abstract

“Factual Analysis of Risk, Return based on Volatility of Bank Nifty Index and Scrips in Bank
Nifty with the context of National Stock Exchange, India”. This study attempts to model volatility and the
impacts of positive and negative shocks over the Bank Nifty Index and the scrips included in the sectoral
index of bank nifty in NSE of India. The study is performed for the period of January, 2010 to April, 2020.
Symmetric and Asymmetric models of Generalized Autoregressive Conditional Heteroscedastic (GARCH)
are used for volatility modelling. The existence of a positive and insignificant risk premium as per GARCHM
(1,1) model is identified. The asymmetric effect (leverage) identified using the parameter of EGARCH
(1,1) and TGARCH (1,1) models show that negative shocks have significant effect on conditional variance
(volatility) than the positive shocks.