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

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 N...

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Bibliographic Details
Main Authors: Parizad Phiroze Dungore, Sarosh Hosi Patel
Format: Article
Language:English
Published: MDPI AG 2021-01-01
Series:International Journal of Financial Studies
Subjects:
GARCH model
Nifty Index futures
causal relation
volatility
volume
open interest
Online Access:https://www.mdpi.com/2227-7072/9/1/7

Internet

https://www.mdpi.com/2227-7072/9/1/7

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