Volatility Analysis and Persistence in an ESG Mutual Fund: E-GARCH Evidence from the Quantum ESG Best in Class Strategy Fund

Abstract

This paper examines the return behavior, long-run equilibrium relationships and volatility dynamics of the Quantum ESG Best-in-Class Strategy Fund, an Indian equities mutual fund with an Environmental, Social and Governance (ESG) theme, using daily Net Asset Value (NAV) data from the fund’s launch  to December 31, 2025. Daily returns are calculated and standard time series diagnostics are used. A unit-root test confirms the stationarity of the returns and the non-stationarity of the level series.Johansen cointegration tests are used to look at long-term connections between: (i) The return on an ESG fund and the general market return (BSE return); (ii) The return on an ESG fund and a competitor peer fund of the same AMC having highest AUM i.e Quantum Value Fund. Finally, conditional volatilities and the performance of ESG funds compared to the BSE ESG index and peer fund are analyzed using EGARCH (calculated in Eviews). The research extends the limited work in India on cointegration and asymmetric volatility modeling of ESG mutual funds, and it provides a useful resource for managers and investors making ESG strategy valuation and investment decisions in emerging nations.