Volatility in the Thematic Indices of Indian Capital Market

Author(s)	Mr. Sahej Jain
Country	India
Abstract	The pandemic affects the Indian stock market, specifically its thematic indices. The EGARCH volatility model is implemented in the GARCH Family model. The data frame, which has been considered for better interpretation of volatility trends and conducting comparative analysis, is January 2015 to April 2023. This study is based on an analysis of seventeen thematic indices and 2061 observations for each. Individual indices exhibit varying levels of volatility. The comparison of volatility levels within these indices aids in understanding which indices are the most and least volatile when external stimuli are present.
Keywords	EGARCH Model, Volatility, Indian capital market, COVID-19 Outbreak, Thematic Indices
Field	Business Administration
Published In	Volume 7, Issue 5, September-October 2025
Published On	2025-10-31
DOI	https://doi.org/10.36948/ijfmr.2025.v07i05.58636

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