Empirical Study of Volatility Clustering in Stock Prices of IT Index

Abstract

The volatility in the stock market creates the opportunity for the investor and their uncertainties also cause the risk for the investor.
Keeping this in mind this paper has looked in to the volatility and with specific reference to IT Index in Indian stock market. For this
purpose we have used the closing price of the BSE-IT Index for estimation of volatility using GARCH are from 1-04-05 to 31-03-
2013.This paper tries to find out if there is volatility clustering in the BSE IT (Information Technology) index in the stock market
using the ARCH/GARCH Model to indicate the volatility in the stock market. The closing prices considered. After fitting the GARCH
model in the data, analysis on the findings will be done. Following which the concluding part of the paper, in which the limitations
of this model along with further suggestions will be elucidated. It was found that GARCH 1,1 has proved the time varying volatility
in the IT sector.