Volatility Study 2022

Authored by: CA Punit Khandelwal, CA Sunit Khandelwal & Prof. Divya Aggarwal

Assisted by: Anurag Garg and Chahak Garg


We are pleased to release the second edition of Incwert’s Volatility Study, assessing the quantum of volatility in the asset prices differentiated by size based on the analysis of indices and listed companies in India.

Our study determining the volatility in equity returns is guided by the need for valuing the equity/options of unlisted entities wherein the size and sector of guideline companies play a critical role in the process of benchmarking. We observe higher equity volatilities in a) smaller, b) less diversified and c) enterprises operating in riskier areas. As part of our empirical analysis, we analysed the volatility in returns of the companies having market capitalisation ranging between INR 100-200 crore (INR 1,000-2,000 million) as a benchmark.

In determining the volatilities, we have given due consideration to the observable time frame and the selection of indices.

This study could be of worth to the valuation professionals when undertaking the valuation of equity-based compensation and share-based payments made by privately held companies and start-ups, for financial reporting purposes. We hope you find the results of our study of interest and value.


Volatility band that may of significance for capturing the risk factor in privately held companies and start-ups