MODELLING STOCK MARKET VOLATILITY USING GARCH MODELS: EMPIRICAL EVIDENCE FROM THE NIFTY 50 (2019–2025)

This study empirically evaluated the daily volatility dynamics of the NIFTY 50 index from 2019 to 2025 using symmetric and asymmetric GARCH-family models. The empirical results demonstrate that daily return variance is non-constant, stationary, highly persistent, and characterized by volatility clustering. The standard symmetric GARCH(1,1) specification provides the superior econometric fit compared to asymmetric alternatives. Volatility shocks decay slowly over an estimated half-life of approximately 36 trading days. These findings provide clear econometric guidance for risk managers, derivative traders, and institutional investors operating in Indian capital markets.

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