International Journal of Multidisciplinary Research and Development

International Journal of Multidisciplinary Research and Development


International Journal of Multidisciplinary Research and Development
International Journal of Multidisciplinary Research and Development
Vol. 7, Issue 10 (2020)

Volatility modelling of Indian stock and index futures


Jeevan VS, Milan Sam Mathew, Abhilash VS

Financial derivatives have become one of the largest markets of the world within the past two decades. Both long term and short term investors of stock market can mitigate risk of their stock market position and can get protection by having suitable position in the futures contract of the same stock or index. Derivatives have high speculative nature, they are risky and they can increase volatility of the market. Volatility is the degree of the change in the current price of an asset with respect to its average past prices. Developed markets give high returns with low volatility for a longer period of time. ARCH model and GARCH (1, 1) model are the methods which are used in this study for modeling financial time series that reveals time-varying volatility of futures. From this study an evidence of time varying volatility is found which shows clustering, high persistence and predictability of futures in Indian market.
Pages : 93-99