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Volatility has always been a part and parcel of stock market. Understanding the volatility is very difficult though measuring it is not impossible. Choosing the right method to meausre the volatility is very crucial and important to get the reliable and accurate results. This study aims at measuring volatility of Nifty50 and Sensex under different error distribution methods of E-GARCH model. E-GARCH is one of the reliable ARCH models that measures persistent volatility and asymmetric effects. This paper bring out the best suited model for Nifty50 and Sensex in measuring the volatility under different error distribution method of E-GARCH model.
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