Volatility of India’s Stock Index Futures Market: an Empirical Analysis

In recent years, the increasing importance of the futures market in the Indian financial markets has received considerable attention from researchers, academicians and financial analysts. This paper is an attempt to examine the time varying properties of volatility of India’s stock index futures market. The application of GARCH class models provides the evidence of the persistence of time varying volatility, and its asymmetric effect. It is also inferred that in India’s stock index futures market, bad news increases the volatility substantially. This volatility behavior of Indian capital market may be due to recent global financial meltdown that originated from US subprime crisis. Such empirical evidence keeps much relevance to policy makers and regulators of India in devising prudential norms and implementing warranted policy reforms.