1Associate Professor, P.S.G.R. Krishnammal College for Women, Coimbatore
2Assistant Professor, Karpagam College of Engineering, Coimbatore
Online published on 23 February, 2017.
An attempt has been made in this paper to examine the share price volatility of the selected companies in IT industry in India. The empirical analysis has been done by using Generalised Autoregressive Conditional Heteroscedasticity (GARCH) model and GARMAN KLASS Model. It is based on daily data for the time period from January 1st 2000 to December 31st 2010. The analysis reveals that the mean of volatility is high during the post-event period for the selected companies in IT industry in the Indian Capital market by using both models.
GARCH, GARMAN KLASS Model, Stock Market Volatility
