Volatility modelling for energy sector stocks in national stock exchange

This paper look at the volatility of the energy sector stocks in National Stock Exchange (NSE) in India. The researcher has used the energy sector spot and futures stocks daily closing price for the period of April 2010 to March 2017. The Augmented Dicky Filler test is used to check the stationarity of the data series. The GARCH model has been used to findout the extent of the volatility of the spot and futures stocks. The results suggest that the Bharat Petroleum Corp Lt spot returns, Gail (India) Ltd spot returns, Hindustan Petroleum Corp spot returns, Hindustan Petroleum Corp futures returns, Indian Oil Corp Ltd spot returns, Oil and Natural Gas Corp.spot returns, Reliance Industries Ltd spot returns and Tata Power Co Ltd returns have the high volatility.