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