Modeling indian stock market volatility: An application of univariate garch models Nandini Girija*, Assistant Professor, Patra Soumendra Kumar**, Assistant Professor, Dr. Mishra Bishnupriya***, Former Dean *Finance, Regional College of Management Autonomous, Bhubaneswar – 751023 **Operations Management, Regional College of Management Autonomous, Bhubaneswar – 751023 ***Management Studies, Modern Institute of Technology and Management, Bhubaneswar Online published on 4 July, 2012. Abstract Well developed securities markets are the backbone of any financial system. Apart from providing the medium for channelizing funds for investment purposes, they aid in pricing of assets and serve as a barometer of the financial health of the economy. So numerous studies have been conducted to test the volatility in stock market. The most commonly studied market anomalies are January effect, the size effect, and the day of the week effect. According to month of the year effect, the average monthly returns of the market are not equal for all the months of the year. The objective of this paper is to examine month of the year effects in Bombay Stock exchange (BSE). The paper tests the month of the year effect of the Bombay Stock exchange, using observations from January 1993 to December 2011. Simple statistical techniques and so also GARCH (1, 1) model have been used to see if any seasonality is present in BSE over the years. Top Keywords Stock Market, Volatility, Univariate, Seasonality, Month of the year effect, GARCH(11). Top |