Dataset 1 — NSE Nifty 50 Daily Closing Prices

The dataset includes observations of the closing prices for the Nifty 50 Index of the National Stock Exchange of India over a contiguous twenty-year span, starting from April 2004 to April 2024. The Nifty 50 is a benchmark index used to reflect the performance of the stock market of India. It consists of the fifty biggest and most actively traded companies listed in the NSE of India and is used as a measure of performance for the large caps in the Indian market. The dataset was created with the aim of conducting research on volatility regime transmission in the Indo-Nepal financial corridor, yet can be used for any Indian stock market analysis involving time series or regime-switching methods.