Volatility modelling for nifty energy index stocks listed in NSE

This paper examines volatility and return of the Nifty Energy index stocks listed on NSE. The data is collected for a period of 9 years i.e., from 1^st January 2011 to 31^st December 2019. The study is purely based on secondary data collected from NSE. The paper analyses the performance of the Nifty ENERGY index stocks and for this the daily closing price behaviour of the stocks was considered and to find the extent of volatility GARCH family model was applied. The Augmented Dicky Filler and Phillips-Perron test is used to check the stationarity of the return series. The results suggest that Tata Power, ONGC, BPCL and Reliance returns have high volatility. An attempt has been made in this paper to understand the performance delivered by the Nifty ENERGY index stocks and the volatility associated with the performance during the study period.