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

Parizad Phiroze Dungore and Sarosh Hosi Patel
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Parizad Phiroze Dungore: Department of Humanities and Social Sciences, Birla Institute of Technology & Science, Pilani, Dubai Campus, Dubai International Academic City, P.O. Box 345055 Dubai, UAE
Sarosh Hosi Patel: School of Engineering, University of Bridgeport, Bridgeport, CT 06604, USA

IJFS, 2021, vol. 9, issue 1, 1-11

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.

Keywords: GARCH model; Nifty Index futures; causal relation; volatility; volume; open interest; National Stock Exchange of India (search for similar items in EconPapers)
JEL-codes: F2 F3 F41 F42 G1 G2 G3 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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