International Journal For Multidisciplinary Research

E-ISSN: 2582-2160   •   Impact Factor: 9.24

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Dynamic Volatility Connectedness among NSE Thematic Indices

Author(s) Ms. Sneha Niteen Gujar, Dr. Yasmin Begum Nadaf
Country India
Abstract Thematic indices have gained popularity in recent years which has led to a need of understanding volatility dynamics and interconnectedness among them. This study examines how the three selected thematic indices of NSE - NIFTY Energy, NIFTY Infrastructure and NIFTY India Consumption Index interact. The study used daily closing price data from 1st January 2020 to 31st March 2026 obtained from official website of National Stock Exchange (NSE) of India. The paper analyses the volatility persistence, dynamic correlations and spillovers among these indices using GARCH (1,1), DCC-GARCH (Dynamic Conditional Correlation) and Diebold-Yilmaz connectedness index. The empirical findings highlight significant volatility persistence across all thematic indices with Nifty Consumption index exhibiting highest persistence. The DCC-GARCH results reveal strong conditional correlations among the indices, in particular between Energy and Infrastructure, indicating the increased synchronization in their behaviour over time. The spillover analysis also confirms that there are substantial volatility spillovers among the indices, with infrastructure emerging as net transmitter of volatility to the other themes. Our study concludes that the selected thematic indices of NSE have become increasingly interconnected which has limited opportunities of diversification during periods of uncertainty. These insights provide strategic implications for policymakers and investors regarding thematic portfolio and risk management strategies.
Keywords Thematic Indices, Volatility Persistence, DCC-GARCH, Spillover Effects, Connectedness Analysis
Field Sociology > Banking / Finance
Published In Volume 8, Issue 3, May-June 2026
Published On 2026-06-01
DOI https://doi.org/10.36948/ijfmr.2026.v08i03.80026
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