Journal Press India^®

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The present study aims at analysing and comparing the volatility of stock returns of Oil and Natural Gas Corporation (ONGC) and Indian Oil Corporation Limited (IOCL) through the daily closing price of each stock for a period of 15 years. Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model is adopted in the study. A few preliminary tests i.e., normality test, stationarity test and residual diagnostic test were carried out to confirm the suitability of the model used. The findings of the study revealed that volatility of stock returns is highly persistent for both the companies. Moreover, the study also reported that compared to IOCL, the volatility of stock returns of ONGC is more persistent. The study has implications for investors, policymakers and other stakeholders in the financial market. The findings of the study will help them to understand the pattern of volatility in the select stocks and to take investment decisions accordingly.

Keywords

Stock Market; Return; Volatility; GARCH; Oil and Natural Gas

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