Multi-timeframe analysis finds significant short- and long-term relationships between historical volatility and NIFTY returns, suggesting important implications for market efficiency.
Historical trends are widely analysed in financial market research for their long-term influence on stock indices. The current research examines the impact of historical volatility on NIFTY 50 returns on the basis of daily data from 2009 to 2025. The research aims to highlight the impact of historical volatility on market performance. The study employs a five-step econometric modelling for building an ARDL model for NIFTY returns by using historical volatility as an independent variable. We have performed ARDL and ARDL bound tests for finding short- and long-term relationship between the variables, respectively. The results of the study reveal a short- and long-term significant relationship between historical volatility and NIFTY returns. The ARDL bound test and diagnostic check validate the model’s robustness and long-term predictive value. The study’s results have implications for market participants, policymakers and researchers in understanding return predictability and market efficiency in the Indian stock market.
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Sharma et al. (2025) studied this question.
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