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Article

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

1
Department of Humanities and Social Sciences, Birla Institute of Technology & Science, Pilani, Dubai Campus, Dubai International Academic City, P.O. Box 345055 Dubai, UAE
2
School of Engineering, University of Bridgeport, Bridgeport, CT 06604, USA
*
Author to whom correspondence should be addressed.
Int. J. Financial Stud. 2021, 9(1), 7; https://0-doi-org.brum.beds.ac.uk/10.3390/ijfs9010007
Received: 25 November 2020 / Revised: 8 January 2021 / Accepted: 11 January 2021 / Published: 14 January 2021
(This article belongs to the Special Issue Advances in Behavioural Finance and Economics)
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. View Full-Text
Keywords: GARCH model; Nifty Index futures; causal relation; volatility; volume; open interest; National Stock Exchange of India GARCH model; Nifty Index futures; causal relation; volatility; volume; open interest; National Stock Exchange of India
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MDPI and ACS Style

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. https://0-doi-org.brum.beds.ac.uk/10.3390/ijfs9010007

AMA Style

Dungore PP, Patel SH. Analysis of Volatility Volume and Open Interest for Nifty Index Futures Using GARCH Analysis and VAR Model. International Journal of Financial Studies. 2021; 9(1):7. https://0-doi-org.brum.beds.ac.uk/10.3390/ijfs9010007

Chicago/Turabian Style

Dungore, Parizad P., and Sarosh H. Patel 2021. "Analysis of Volatility Volume and Open Interest for Nifty Index Futures Using GARCH Analysis and VAR Model" International Journal of Financial Studies 9, no. 1: 7. https://0-doi-org.brum.beds.ac.uk/10.3390/ijfs9010007

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