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
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Englisch
- Bibliographic citation
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Journal: International Journal of Financial Studies ; ISSN: 2227-7072 ; Volume: 9 ; Year: 2021 ; Issue: 1 ; Pages: 1-11 ; Basel: MDPI
- Classification
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Wirtschaft
Multiple or Simultaneous Equation Models; Multiple Variables: General
Econometric Modeling: General
Financial Econometrics
- Subject
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causal relation
GARCH model
National Stock Exchange of India
Nifty Index futures
open interest
volatility
volume
- Event
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Geistige Schöpfung
- (who)
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Dungore, Parizad Phiroze
Patel, Sarosh Hosi
- Event
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Veröffentlichung
- (who)
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MDPI
- (where)
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Basel
- (when)
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2021
- DOI
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doi:10.3390/ijfs9010007
- Handle
- Last update
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10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Dungore, Parizad Phiroze
- Patel, Sarosh Hosi
- MDPI
Time of origin
- 2021
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