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

Dungore, Parizad; Patel, Sarosh

doi:10.3390/ijfs9010007

Cited by 7 publications

(3 citation statements)

References 24 publications

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“…Physica A 505, 2018, 632-47 Some studies have found that globally oriented companies with exposure to China have seen their shares decline, while companies in the natural gas, software, food and healthcare sectors in America have performed positively during the Covid-19 pandemic. 9 Another study showed that the South Korean stock market was more resilient than the French stock market during the pandemic. 10 Charfeddine used GARCH to analyze the volatility of stock indices during the Covid-19 pandemic.…”

Section: Stock Markets Analysts During Period Of Covid -19mentioning

confidence: 99%

THE RELATIONSHIP BETWEEN STOCK MARKET & ECONOMIC ACTIVITY DURING THE COVID 19 PANDEMIC IN SOUTHEASTERN EUROPE

Denkovski¹

2023

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The emergence of the corona virus and its rapid spread has caused a global health crisis, the virus has had a huge negative impact and has deepened fear in all segments of economic activity and financial flows. Experts from the business world, have for a long time highlighted the facts that point to great losses in the world economy. The Organization for Economic Cooperation and Development (OECD) indicated that the corona virus was biggest threat to the world economy in recent history until today. For the needs of this paper, and in the direction of fulfilling the set goals, available data have been used that through statistical processing show the impact of the pandemic on the activities of the stock markets through the overall economic activity. In addition, the American and several world stock markets were selected for this paper as a comparison with the stock markets of Southeast Europe. The purpose of the paper is to show how the emergence of COVID in the Balkan countries at the beginning of 2020 affected stock exchange activities, how fear and state restrictions led to a decline in economic activity and thus a decline in the indices of all stock exchanges.

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Section: Stock Markets Analysts During Period Of Covid -19mentioning

confidence: 99%

THE RELATIONSHIP BETWEEN STOCK MARKET & ECONOMIC ACTIVITY DURING THE COVID 19 PANDEMIC IN SOUTHEASTERN EUROPE

Denkovski¹

2023

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“…To have a non-spurious estimate of this relationship in a non-stationary statistical universe, it is recommended to first resort to a protocol of preliminary statistical tests (Spurious regression is a situation in which using nonstationary time series in linear regression shows erroneous results). First, we must determine the order of integration of the variables [10]. Considering the importance of this step thereafter, one must resort to different stationarity tests: the usual Dickey-Fuller unit root test (ADF).…”

Section: Study Of Stationaritymentioning

confidence: 99%

Optimization of the impact measurement of market structure on liquidity and volatility

Rhouas

Bouchekourte

Hami

2022

Int. J. Simul. Multidisci. Des. Optim.

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Liquidity and volatility are the two barometers that allow stock markets to appreciate in terms of attractiveness, profitability and efficiency. Several macroeconomic and microstructure variables condition the level of liquidity that directly impact the asset allocation decisions of different investor profiles − institutional and individuals − and therefore the dynamics of the market as a whole. Volatility is the regulatory component that provides information on the level of risk that characterizes the market. Thus, the appreciation of these two elements is of considerable help to fund managers looking to optimize their equity pockets. In this work, we will use the liquidity ratio as a proxy variable for the liquidity of the Moroccan stock market, to estimate the indicators and factors that determine its short- and long-term variability. The appropriate econometric method would be to estimate an error correction vector model (ECVM) which has the property of determining the long- and short-term relationships between the variables. The volatility of the MASI index will be the subject of a second estimate to capture the shape of the function of its evolution.

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“…Extremely low VIX levels might indicate complacency and potential market overheating, however extremely high levels might suggest a market bottom is approaching. Following this general rule, investors can avoid some potential risks and receive a higher return [5].…”

Section: Introductionmentioning

confidence: 99%

The Impact Caused by the U.S. Increasing Real Interest Rate on Volatility Index

Wang

2024

AEMPS

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This paper mainly focuses on the impact of the US interest rate hike on the volatility index after March 16, 2020. In this article, daily, weekly, and monthly volatility index data from 2010 to 2022 are extracted and the ARIMA model was used to determine and analyze the difference between actual value and fitted value of volatility index after increased rate. The study forecasts the effect of rate hikes on volatility index in short-, medium-, and long-term perspective. According to the ARIMA model, the interest rate hike has the greatest impact on the volatility index in the medium term, which is not obvious in the short term, and the impact of interest rate hike gradually decreases in the long term, and finally returns to the normal trend. Compared with other studies on the impact of interest rate hike on the overall economic activity, this paper only focuses on the impact of interest rate hike on the volatility index. Through the research of this paper, the policy makers can adjust the rate of interest rate hike according to the speed and amplitude of investors' response to the policy, so as to produce turbulence and panic on the stock market to a minimum extent.

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

Cited by 7 publications

References 24 publications

THE RELATIONSHIP BETWEEN STOCK MARKET & ECONOMIC ACTIVITY DURING THE COVID 19 PANDEMIC IN SOUTHEASTERN EUROPE

THE RELATIONSHIP BETWEEN STOCK MARKET & ECONOMIC ACTIVITY DURING THE COVID 19 PANDEMIC IN SOUTHEASTERN EUROPE

Optimization of the impact measurement of market structure on liquidity and volatility

The Impact Caused by the U.S. Increasing Real Interest Rate on Volatility Index

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