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Analysis of Volatility Volume and Open Interest for Nifty Index Futures Using GARCH Analysis and VAR Model

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dc.contributor.author Dungore, Parizad P.
dc.contributor.author Patel, Sarosh H.
dc.date.accessioned 2021-03-01T17:49:24Z
dc.date.available 2021-03-01T17:49:24Z
dc.date.issued 2021-01-14
dc.identifier.citation Dungore, P.P.; Patel, S.H. Analysis of Volatility Volume and Open Interest for Nifty Index Futures Using GARCH Analysis and VAR Model. Int. J. Financial Stud. 2021, 9, 7. en_US
dc.identifier.uri https://scholarworks.bridgeport.edu/xmlui/handle/123456789/4415
dc.description.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. en_US
dc.description.uri https://doi.org/10.3390/ijfs9010007
dc.language.iso en_US en_US
dc.publisher MDPI en_US
dc.subject Generalized autoregressive conditional heteroscedastic model en_US
dc.subject Nifty index futures en_US
dc.subject Causal relation en_US
dc.subject Volatility en_US
dc.subject Volume en_US
dc.subject Open interest en_US
dc.subject National Stock Exchange of India en_US
dc.title Analysis of Volatility Volume and Open Interest for Nifty Index Futures Using GARCH Analysis and VAR Model en_US
dc.type Article en_US
dc.publication.issue 1 en_US
dc.publication.name International Journal of Financial Studies en_US
dc.publication.volume 9 en_US


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