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Volatility Analysis of Commodity Futures and Common Stocks Market:An Example of India


Affiliations
1 Department of Economics, Vivekananda College, Thakurpukur, Kolkata 713104, India
2 Department of Economics, The University of Burdwan, Golapbag Campus, Burdwan 713104, India
     

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The paper investigates the pattern of volatility in daily return from select Commodity Futures and Stock market in India. One Commodity Future from each group of futures is chosen for the study and they are - Potato, Gold, Crude oil and Mentha Oil. S&P CNX Nifty is selected as a representative of stock market. This study uses several econometrics techniques and in particular, GARCH family models are used for examining the volatility aspects of commodity futures and Nifty Index. The results obtained point to the fact that Crude Oil and Gold futures market is almost similar to the functioning of the stock market in India.

Keywords

Commodity Futures, Nifty, Volatility, GARCH.
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  • Volatility Analysis of Commodity Futures and Common Stocks Market:An Example of India

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Authors

Isita Mukherjee
Department of Economics, Vivekananda College, Thakurpukur, Kolkata 713104, India
Bhaskar Goswami
Department of Economics, The University of Burdwan, Golapbag Campus, Burdwan 713104, India

Abstract


The paper investigates the pattern of volatility in daily return from select Commodity Futures and Stock market in India. One Commodity Future from each group of futures is chosen for the study and they are - Potato, Gold, Crude oil and Mentha Oil. S&P CNX Nifty is selected as a representative of stock market. This study uses several econometrics techniques and in particular, GARCH family models are used for examining the volatility aspects of commodity futures and Nifty Index. The results obtained point to the fact that Crude Oil and Gold futures market is almost similar to the functioning of the stock market in India.

Keywords


Commodity Futures, Nifty, Volatility, GARCH.

References