Risk-Return and Volatility analysis of Sustainability Indices of S&P BSE

BSE being a responsible stock exchange has taken the initiative by screening the Indian companies on the basis of their environment and social performance and same is grouped under Sustainability Indices category. This study examines empirically the volatility between risk (conditional volatility) and returns for the BSE Sustainability Indices over the period of January 2011 to March 2016. Augmented Dickey-Fuller test was conducted to note the stationarity of the data and also tested the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) in mean methodology to analyse the volatility. Results show that index returns are stationary and there is no GARCH affect for both index returns.