Modelling Conditional Volatility of NIFTY 50

Abstract

The present study demonstrates modelling of conditional volatility of NIFTY 50 using GARCH (1,1) model. The daily returns data of the Indian stock market index NIFTY 50 is used for the period ranging from April 2010- March 2020. The data has been subjected to analysis using R software. The study estimates and interprets the results arrived in the summary output of the R environment and demonstrates how to forecast the volatility of the returns based on the estimated parameters. Extracting the time series of conditional volatilities is also demonstrated in the study.