International Journal of Academic Accounting, Finance & Management Research (IJAAFMR)   Year: 2021 | Volume: 5 | Issue: 10 | Page No.: 1-9 Measuring Volatility of BSE with ARCH Family Models: Context of Financial Crisis Mr. Vivek Ayre and Dr. Krunal Patel Abstract: The present paper studies estimating the volatility of the BSE index with ARCH family models.Data used in the study BSE index return dated from 1st-Jan-2007 to 31st-Dec-2010. That time duration consist major impact of the financial crisis or high volatility in Indian stock exchanges. It confirmed that EGARCH (1, 1) is superior in modelling the volatility of returns on the equity market for the studied period.The model helps investor to identify the volatility patterns forecasting in indian stock market and it also suggest that the volatility appears to be more when price decline than when price increases.