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Erscheinungsjahr: 
2021
Quellenangabe: 
[Journal:] International Journal of Financial Studies [ISSN:] 2227-7072 [Volume:] 9 [Issue:] 1 [Article No.:] 7 [Publisher:] MDPI [Place:] Basel [Year:] 2021 [Pages:] 1-11
Verlag: 
MDPI, Basel
Zusammenfassung: 
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.
Schlagwörter: 
causal relation
GARCH model
National Stock Exchange of India
Nifty Index futures
open interest
volatility
volume
JEL: 
G2
G4
C30
C50
C58
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