Study to analyze factors affecting NSE using garch (1, 1) generalized error distribution

This paper attempts to analyze the volatility of NSE index. Data of two and half years was collected from the website of NSE India.com and yahoo finance.com and then GARCH and ARCH effect were analyzed. NIKKEI and HANGSENG are the outside shock for the study. Generalized error distribution Method of GARCH (1, 1) suggests that ARCH and GARCH terms are significant. Normal Gaussian Distribution Method of GARCH (1, 1) suggests that NIKKEI and HANGSENG do not affect the volatility of NSE. This paper is divided into four sections. First section covers review of literature, second section covers objective of the study and methodology, third section is on result and findings and fourth section covers conclusion.