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An impact of globalization on a country's economy is that it brings in many participants from various countries to invest in the capital market. This increases the importance of the role of the financial market in that country. Financial markets help in capital formation to develop the economy in a country through industrial development and are the primary source of capital for various economic activities in a country. Capital formation is very important for the development of the business environment as well as economic growth. The economy of a country depends on its stock market for capital formation as, through the stock market, surplus funds get channelized to meet the industry's need. Capital formation through the stock market provides a platform that offers a win-win situation to both industry as well as the investor as it may provide the highest return.
The paper tries to examine the performance of sectoral indices of BSE from April 2010 to March 2018 for which S&P BSE sectoral indices like S&P BSE Consumer Durables, Realty, Health Care, Oil & Gas, AUTO, Information & Technology (IT), Telecom, Banking, FMCG Index and BSE Sensex have been used. Descriptive Statistics, Augmented Dicky-Fuller Test, and GARCH model have been used for all sectors. GARCH (1, 1) is the best one in modelling the volatility of the return