Volatility Shocks in Stock Futures during Election Period in India

Abstract

Abstract In India, the elections usually influence limited volatility in the stock market and as they are of recurring nature, the results can be of use to investors in similar circumstances in future. Therefore, this paper aims to examine volatility in Indian Equity futures during election period using ARCH and GARCH models. The study has used five individual stock futures and the time period of election considered was divided into two; the election period considered from 1st January 2024 to 31st May 2024 and after-election period beginning from 1st June 2024 to 30th November 2024. The study found significant persistence of volatility shocks as represented by the sum of ARCH and GARCH parameters were present in the series for HDFCBANK and SBIN in the election period. In the after-election period, persistence of volatility shocks, as represented by the sum of ARCH and GARCH parameters were present in the series of for SBIN and only GARCH term was significant for HINDUNLVR and RELIANCE. Keywords: Indian futures, stock futures, volatility, derivatives