Journal Press India^®

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This article examines the risk-return and conditional volatility of the NIFTY100ESG, NIFTY500, and NIFTY100 indexes. Daily closing values for all three indices from April 1, 2011 to December 31, 2023, were obtained from the National Stock Exchange website. Both symmetric and asymmetric Generalised Autoregressive Conditional Heteroscedastic (GARCH, TGARCH, EGARCH, PGARCH) models have been used to analyse intrinsic conditional volatility. The NIFTY100ESG Index’s daily compounded returns are not statistically different from those of the NIFTY500 and NIFTY100, but its annualised return is higher and it outperformed Nifty500 in Jensen’s alpha, Sharpe, and Treynor ratios. The GARCH (1,1) results show volatility clustering in three indexes; the NIFTY100ESG index has much higher volatility than the benchmarks; and the PGARCH model, which uses the student’s t distribution, better captures the asymmetric volatility of all three index return series. The statistics show that positive shocks affect conditional volatility more than negative shocks. 

Keywords

Capital Asset Pricing Model; Environmental Social Governance (ESG) Index; GARCH Family Models; Risk-return Analysis; Volatility

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