Artikel

Analysis of volatility volume and open interest for Nifty Index futures using GARCH analysis and VAR model

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.

Language
Englisch

Bibliographic citation
Journal: International Journal of Financial Studies ; ISSN: 2227-7072 ; Volume: 9 ; Year: 2021 ; Issue: 1 ; Pages: 1-11 ; Basel: MDPI

Classification
Wirtschaft
Multiple or Simultaneous Equation Models; Multiple Variables: General
Econometric Modeling: General
Financial Econometrics
Subject
causal relation
GARCH model
National Stock Exchange of India
Nifty Index futures
open interest
volatility
volume

Event
Geistige Schöpfung
(who)
Dungore, Parizad Phiroze
Patel, Sarosh Hosi
Event
Veröffentlichung
(who)
MDPI
(where)
Basel
(when)
2021

DOI
doi:10.3390/ijfs9010007
Handle
Last update
10.03.2025, 11:45 AM CET

Data provider

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Object type

  • Artikel

Associated

  • Dungore, Parizad Phiroze
  • Patel, Sarosh Hosi
  • MDPI

Time of origin

  • 2021

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