The study analyzed stock market volatility in India from 1997 to 2006. They used different models to predict stock returns and found that volatility tends to cluster together, showing patterns of persistence. The researchers discovered that asymmetric volatility exists in the market, meaning that stock prices can change differently in response to positive and negative news. The GARCH model was the most effective in forecasting returns, contradicting the idea that stock prices follow a random pattern. The results suggest that the Indian stock market is not completely efficient, indicating that there are still opportunities for investors to profit from mispriced assets. The Securities and Exchange Board of India (SEBI) is encouraged to take a more active role in ensuring fair pricing in the market.