EXAMINING MARKET MOVEMENT: GARCH AND ARIMA INSIGHTS INTO ‘NIFTY MIDCAP 50’ VOLATILITY DURING 2008 FINANCIAL CRISES

Abstract

This research paper specifically talks about the impact of 2008 financial crisis on Indian stock market. As far as Indian stock market is concerned, the stock prices of Nifty Midcap 50 were taken for the period of 3 years ranging from January 2007 to December 2009. The Nifty Midcap 50 is registered under the NSE (National Stock Exchange) which is one of the main stock exchanges in India. For the purpose of analyzing the impact of financial crisis first we need to explain the volatility. The GARCH model, SGARCH was used to constrain and explain the volatility of Nifty Midcap 50 at the time of financial crisis. The GARCH model of sGARCH (1,1) and the ARMA order (2,2) explained the volatility in it. This paper had explained that the stock market will rise again after the end of 2009 and investors might get back there returns eventually.