An analysis of volatility spillover between stock return from select Real estate companies in India

The present paper is an attempt to find out the volatility spillover between stock return from select Real Estate companies in India during 2007–2008 to 2016–2017. Volatility forecasting helps to investors or players in the capital market to find out the buy and sell signals about shares on the basis of quantity of risk thereon. To measure the volatility of stock return of twenty Real Estate companies was selected, Analysis was made with the help of statistical tool and econometric tool. From the study found that the result of the estimated GARCH model reveals that the co-efficient on both the lagged squared residual and lagged conditional variance terms in the conditional variance equation are highly statistically significant.