Impact Of Oil Price on Stock Market Prices Using Generalised Auto-Regressive Conditional Heteroskedasticity (GARCH) Model

Abstract

This study attempts to associate the relationship between the volatile oil price and its impact on the stock market prices. Oil prices are increasing in the recent days and it is important to check whether this has any influence over the Indian economy and that of movements of stocks. This study uses the GARCH model to assist changes where the volatility is time dependent and volatility is subject to increase and decrease in the same series. The major objective of the paper is to use GARCH model to estimate the volatility of the daily returns with respect to the oil price of National Stock Exchange. This models was done by using the data from March 2016 to February 2021.