Stock market volatility refers to the continuous change in the stock prices. This paper examines the relationship between the volatility clustering, level of volatility for the Indian Stock Markets viz. National Stock Exchange (NSE) and Bombay Stock Exchange (BSE) for the financial year 2015-16 to 2019-20. The GARCH model is applied to check for the volatility clustering, it is found that there is presence of clustering for the stock exchange indices, as well as for the sectoral indices. Thus, it is found that though both the Stock Exchanges follow the same trend of volatility, BSE indices are more volatile than NSE indices, and any investor investing through BSE listing is exposed to more Risk. Overall, in the study, comparison is being made at every step among the Bombay Stock Exchange and the National Stock Exchange.
Volatility, GARCH, NSE, BSE, Sectoral Volatility
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