Market Volatility Across Major Nifty Sector Indices: An Empirical Study

This research investigates market volatility in the Indian stock market across major Nifty sector indices using empirical methods. The study examines the Nifty Bank, Nifty Pharma, Nifty FMCG, Nifty Metal, and Nifty Auto indices using annual data from Yahoo Finance for the period 2015-2025. A logarithmic transformation is applied to calculate sectoral returns, which are then examined. With the ADF test confirming that all return series are stationary, the application of volatility models is validated. This research uses the symmetric sGARCH(1,1) model to account for time-varying volatility and volatility persistence across sectors. The findings show that volatility dynamics are heterogeneous: the Banking, Pharma, and FMCG sectors exhibit greater volatility persistence, whereas the Metal and Auto sectors are more responsive to short-term market shocks. The findings highlight significant inter-sectoral linkages and limited diversification benefits during market-wide fluctuations.