Title: Measuring volatility in the Indian commodity futures

Authors: S. Kirithiga; G. Naresh; S. Thiyagarajan

Addresses: Department of Commerce, School of Management, Pondicherry University, Puducherry-605 014, India ' Department of Accounting and Finance, Charlton College of Business, University of Massachusetts Dartmouth, 285 Old Westport Road, North Dartmouth, MA 027472300, USA ' Department of International Business, School of Management, Pondicherry University, Puducherry-605 014, India

Abstract: Like the financial futures, the use of commodity futures is also considered to be more generic as it benefits larger stakeholders and the economy as well. The increasing participation in the commodities market by the investors is alarming for their risk bearing capacity where the benefit of leverage in the futures trading is attracting more number of participants. Thereby, the increase in commodity futures trading has put forth the discussion of uncertainties about their future price movements. Thus, for better mitigation of its price risk, knowing about the fluctuation of asset prices in the commodity futures market is necessary.

Keywords: commodity; futures; autoregressive conditional heteroskedasticity; ARCH; generalised autoregressive conditional heteroscedasticity; GARCH; volatility; market participants.

DOI: 10.1504/IJBD.2017.088545

International Journal of Bonds and Derivatives, 2017 Vol.3 No.3, pp.253 - 274

Received: 20 Jun 2017
Accepted: 28 Aug 2017
Published online: 11 Dec 2017 *

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