This paper explain the stock market volatility at the individual script level and at the aggregate stock price level. The empirical analysis has been done by using Generalised Autoregressive Conditional Heteroscedasticity (GARCH) model. | A study on comparitive analysis of volatility of equity share prices for selected steel companies in India INTERNATIONAL JOURNAL OF MANAGEMENT IJM ISSN 0976-6502 Print IJM ISSN 0976-6510 Online Volume 7 Issue 2 February 2016 pp. 261-265 http ijm IAEME Journal Impact Factor 2016 Calculated by GISI A STUDY ON COMPARITIVE ANALYSIS OF VOLATILITY OF EQUITY SHARE PRICES FOR SELECTED STEEL COMPANIES IN INDIA Dr. M. A. Shakila Banu Assistant Professor in Management Studies Jamal Institute of Management Jamal Mohamed College Autonomous Trichy-620007 K. Saranya Assistant Professor Department of Commerce Jamal Mohamed College Autonomous Trichy-620007 ABSTRACT This paper explain the stock market volatility at the individual script level and at the aggregate stock price level. The empirical analysis has been done by using Generalised Autoregressive Conditional Heteroscedasticity GARCH model. It is based on daily data for the time period from January 2015 to December 2015. The analysis reveals the same trend of volatility in the case of aggregate stock price and two different steel company. The GARCH 1 1 model is persistent for the two company share price. Key words GARCH Stock Market Volatility Equity Share Price. Cite this Article Dr. M. A. Shakila Banu and K. Saranya. A Study on Comparitive Analysis of Volatility of Equity Share Prices for Selected Steel Companies in India. International Journal of Management 7 2 2016 pp. 261-265 http IJM 1. INTRODUCTION Volatility is a theoretical construct. Models for volatility often use an unobservable variable that controls the degree of fluctuations of the financial return process. This variable is usually called the volatility. Generally two different volatility models will lead to different concepts of volatility. In finance volatility is a measure for variation of price of a financial instrument over time. Historic volatility is derived from time series of past
