This paper examines the volatility of the automobile sector stocks in National Stock Exchange (NSE) in India. The researcher has used the automobile sector spot and futures stocks daily closing price for the period of April 2010 to March 2017. The Augmented Dicky Filler test is used to check the stationarity of the data series. The GARCH model has been used to findout the extent of the volatility of the spot and futures stocks. The results suggest that the Ashok Leyland Ltd Spot and futures returns, Mahindra and Mahindra Ltd spot returns and Tata Motors Ltd spot returns have the high volatility.
Automobile sector, closing price, GARCH
