Published Paper Details:

Prices in the stock market keep on fluctuating incessantly. Assets whose prices keep on fluctuating are called volatile assets. Volatility is thus fluctuations in the price of an asset over a given time period. Volatility of an asset stands out to be a major factor considered by an investor while taking investment decisions. It is a key aspect influencing the risk management, portfolio management and financial decisions taken by various stakeholders. Moreover, being at the core of so many decisions taken by different stakeholders, researchers for decades have been engrossed with developing the ability to predict the stock market volatility as precisely as possible. As a result there have been several models developed so far in order to predict volatility of an asset. These models have been tested majorly in the more developed markets and less number of tests has been conducted in developing markets. This paper is an attempt to fill this gap and test volatility prediction in the Indian stock market, essentially on the Nifty index.