Abstract
This paper investigates the nature and characteristics of stock market volatility in India. The volatility in the Indian stock market exhibits characteristics similar to those found earlier in many of the major developed and emerging stock markets. Various volatility estimators and diagnostic tests indicate volatility clustering, i.e., shocks to the volatility process persist and the response to news arrival is asymmetrical, meaning that the impact of good and bad news is not the same. Suitable volatility forecast models are used for Sensex and Nifty returns to show that: In this paper the researcher analyse the NIFTY 50 spot market daily price compared to Index options Nifty 50 at NSE market for the period of 2011-2015 (5 years). There is a mixed evidence of return and volatility between the Nifty spot and options in the Indian market of NSE. Empirical application of Nifty 50 at NSE volatility rate of return
demonstrates through the GARCH model.
Keywords: NIFTY 50, Options data, ARCH, GARCH, and NSE.
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