
	The International Journal of Applied Economics and Finance
	Year: 2011 \| Volume: 5 \| Issue: 1 \| Page No.: 18-29 DOI: 10.3923/ijaef.2011.18.29

Measuring the Time Varying Volatility of Futures and Options

M. Raja and M. Selvam

Abstract: In industrialized countries, apart from money market and capital market securities, a variety of other securities like derivatives are available for investment and trading. There is a demand in India to introduce these securities, derivatives are highly speculative, risky and increase volatility. Volatility is the measure of how far the current price of an asset deviates from its average past prices. Pricing of securities is supposed to be dependent on the volatility of each asset. Matured market/developed markets continue to provide over long period of time high returns with low volatility. ARCH, Engle’s ARCH, GARCH, GARCH (1, 1) are the methods which are deployed in this study for modeling financial time series that exhibits time-varying volatility of futures and options. The study finds an evidence of time varying volatility, which exhibits clustering, high persistence and predictability of futures and options in Indian market.

PDF Fulltext XML References Citation Report Citation

RELATED ARTICLES:

•	Time Series Grey System Prediction-based Models: Gold Price Forecasting

•	Herding Behaviour in an Emerging Stock Market: Empirical Evidence from Vietnam

•	GARCH Models and the Financial Crisis-A Study of the Malaysian Stock Market

How to cite this article:

M. Raja and M. Selvam, 2011. Measuring the Time Varying Volatility of Futures and Options. The International Journal of Applied Economics and Finance, 5: 18-29.

DOI: 10.3923/ijaef.2011.18.29

URL: https://scialert.net/abstract/?doi=ijaef.2011.18.29

COMMENT ON THIS PAPER

Navigation


		Online First
		Current Issue
		Previous Issues
		Editorial Board
		Submit a Manuscript
		Guide to Authors
		Subscribe to E-alerts

Indexed In


		ASCI-Database
		Asian Digital Library
		Google Scholar

Science Alert