Exploring Stock Returns Volatility of Select NSE – Listed Pharmaceutical Companies: An Empirical Study

Volatility of a financial time series has become a fertile area for research during last decades. Global financial meltdowns have massive shock on different sectors as well as on scripts returns. The current study empirically explores the volatility pattern of NSE listed pharmaceutical companies considering daily closing adjusted stock price from 2001-02 to 2015-16. The objective of the paper is to study the volatility design of daily stock returns. The application of GARCH, and T-GARCH models provides the evidence of the persistence of time varying asymmetric volatility. Main findings suggest that time varying volatility behaviour of Indian stock market may be due to recent global financial meltdown, which is originated from US sub-prime crisis. Likewise, effect captured by different models show that negative shocks have significant effect on conditional volatility.