Historical volatility of NIFTY Returns and Demonetisation-An Overview

The present paper attempts to explain the impact of demonetization on NIFTY returns using historical volatility. Demonetization is one of the historic events not only within the economy but also even beyond borders of the nation. The recent economic surgical strike on November 8, 2016 stunned the markets, which instrumented by Government of India (GOI) to limit black money circulation in the market. To study the impact of demonetization as one of the effects on Indian Incorporation, in this research, differences between returns of historical volatility of the country best managed portfolio NIFTY.