Economic Resilience in Post-Pandemic India: Analysing Stock Volatility and Global Links Using VAR-DCC-GARCH and Wavelet Approach

This study explores the resilience of the Indian stock market in the face of global shocks in the post-pandemic era, focusing on its volatility dynamics and interconnections with international indices. Through a combination of Vector Autoregression (VAR), DCC-GARCH, and wavelet analysis, we analysed the time-varying relationships between the National Stock Exchange (NSE) of India and major global indices, including those from the U.S., Europe, Asia-Pacific, Hong Kong and Japan. Time series data of the selected indices have been collected for the period 1 January 2021 to 30 September 2024. Results reveal that while the NSE demonstrates resilience through rapid adjustments following shocks, it remains vulnerable to substantial spillover effects from markets such as the S&P 500 and European indices. Wavelet coherence analysis identifies periods of high correlation, particularly during major economic events, indicating that regional and global factors can periodically compromise market stability. Moreover, the DCC-GARCH results show a persistent but fluctuating correlation with specific markets, reflecting a connected and adaptive nature of the Indian market that is influenced by regional dynamics. This study emphasises the importance of strategic risk management. It highlights critical periods and indices that policymakers and investors should monitor closely to understand the economic resilience of the Indian financial market better. Further research could explore sector-specific impacts and the role of macroeconomic factors in shaping market responses.