Empirical study estimating volatility dynamics of stock returns of Banks in India

Vikram Mohite

The major purpose of this exercise is to assess the volatility dynamics of the stock returns of the banks of India and to determine the factor which influence and explains the stock returns. For this exercise, the methodology GARCH (1, 1) model is used for determining the risk factor under multi index model. The empirical exercise suggests that in case of banking companies stock returns are highly persistent and lagged returns have a significant impact on the current year’s stock returns.