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- Title
Analysis of Volatility Volume and Open Interest for Nifty Index Futures Using GARCH Analysis and VAR Model.
- Authors
Dungore, Parizad Phiroze; Patel, Sarosh Hosi
- Abstract
The generalized autoregressive conditional heteroscedastic model (GARCH) is used to estimate volatility for Nifty Index futures on day trades. The purpose is to find out if a contemporaneous or causal relation exists between volatility volume and open interest for Nifty Index futures traded on the National Stock Exchange of India, and the extent and direction of these relationships. A complete absence of bidirectional causality in any particular instance depicts noise trading and empirical analysis according to this study establishes that volume has a stronger impact on volatility compared to open interest. Furthermore, the impulse originating from volatility of volume and open interest is low.
- Subjects
NATIONAL Stock Exchange of India Ltd.; VECTOR autoregression model; FUTURES; STOCK exchanges; STOCK index futures; FUTURES market; MARKET volatility; STOCK transfer
- Publication
International Journal of Financial Studies, 2021, Vol 9, Issue 1, p7
- ISSN
2227-7072
- Publication type
Article
- DOI
10.3390/ijfs9010007