Modelling the time-varying volatility of Indian spot market and the underlying futures market

dc.contributor.author	Shirodkar, S.
dc.contributor.author	AnjanaRaju, G.
dc.contributor.author	Marathe, S.
dc.date.accessioned	2020-11-18T05:11:22Z
dc.date.available	2020-11-18T05:11:22Z
dc.date.issued	2020
dc.identifier.citation	Journal of Advanced Research in Dynamical and Control Systems (JARDCS). 12(4); 2020; 1738-1745.	en_US
dc.identifier.uri	http://doi.org/10.5373/JARDCS/V12SP4/20201656
dc.identifier.uri	http://irgu.unigoa.ac.in/drs/handle/unigoa/6288
dc.description.abstract	In recent time Derivatives products like Option and Futures serves as a vital instrument of risk hedging, price discovery, portfolio diversification and price stabilisation. Several researchers have explored the association among the Spot Market and the Futures Market. GARCH family models are applied to investigate the time-varying volatility of Spot Market and the underlying Futures market in India. The outcome of the GARCH analysis signifies that old announcement has a higher effect on today's price changes'. GARCH model supports the existence of asymmetry in the volatility. The result also presents evidence that time-varying volatility is highly persistent and asymmetric in nature for Cash as well as the Futures market.	en_US
dc.publisher	Institute of Advanced Scientific Research	en_US
dc.subject	Commerce	en_US
dc.title	Modelling the time-varying volatility of Indian spot market and the underlying futures market	en_US
dc.type	Journal article	en_US