Research on Volatility Pattern of BSE BANKEX Index & BSE SENSEX Index using Exponential weighted moving Average Model
Renu Choudhary1, Neha Jain2
1Dr Renu Choudhary*, Associate Professor, Department of Information Technology & Management, IITM Janakpuri Institute of Information Technology & Management, New Delhi, India.
2Dr Neha Jain, Assistant Professor, Department of Information Technology & Management, IITM Janakpuri Institute of Information Technology & Management, New Delhi, India.
Manuscript received on January 17, 2020. | Revised Manuscript received on January 23, 2020. | Manuscript published on February 10, 2020. | PP: 3195-3199 | Volume-9 Issue-4, February 2020. | Retrieval Number: B6550129219/2020©BEIESP | DOI: 10.35940/ijitee.B6550.029420
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© The Authors. Blue Eyes Intelligence Engineering and Sciences Publication (BEIESP). This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/)
Abstract: India, a country with impressive growth prospects has stunned many developed nations. As far as performance of equity market concern, last 25 years among more than $1-trillion markets in the world, Indian equity market was best performer outpacing some of bigwigs such as US, Germany and Hong Kong. Last 25 years return in local money of SENSEX was so high in comparisons to others. Banking sectors have specific and an important role in the economic development of a India. With the reconstitution of BSE Sensex in last few years, the weightage of the Banking, Financial Services and Insurance (BFSI) sector. In the BSE 30 will touch its all-time high level to 40.1% which will be more than the combined weights of technology as consumer and auto. The weightage of financials in the Sensex has more than doubled from financial year 2009. In the long duration index weightage affect portfolio in major funds. The main objective of this research paper is to show the volatility patterns of Bombay Stock Exchange SENSEX and BSE BANKEX Index using Exponential weighted moving average (EWMA) model.
Keywords: S&P BSE BANKEX, S&P BSE SENSEX, Volatility, EWMA
Scope of the Article: Probabilistic Models and Methods