Ngigi, DanielNjuguna, Angelica2025-10-152025-10-152024-10Daniel Ngigi & Angelica Njuguna (2024). Revisiting the Dynamics of Stock Market Returns Volatility of Listed Companies under the NSE 20 Share Index in Kenya. Eurasian Journal of Economics and Statistics, 1: 2, pp. 173- 189.2584-2684https://ir-library.ku.ac.ke/handle/123456789/31748ArticleThis study explored the behavior of stock market returns volatility in the Nairobi Securities Exchange (NSE) for listed companies under the NSE 20 share index in Kenya. The study analyzed stock returns using 2,999 observations from 3 January 2011 to 30 December 2020 and estimated a generalized autoregressive conditional heteroskedasticity, GARCH (1,1) and an exponential generalized autoregressive conditional heteroskedasticity, EGARCH (1,1) models. The study found that the stock returns volatility of companies listed under the NSE 20 share index exhibited both volatility clustering and persistence behavior. However, there was no evidence of the leverage effect on future volatility in returns.enArticle