A STUDY ON VOLATILITY OF COMMODITIES TRADED WITH SPECIAL REFERNCE TO MCX

Divya Bhaarathi.V; Dr.Mohanamani.P

Volume : VII, Issue : II, February - 2018

A STUDY ON VOLATILITY OF COMMODITIES TRADED WITH SPECIAL REFERNCE TO MCX

Divya Bhaarathi. V, Dr. Mohanamani. P

Abstract :

Commodity market has a tremendous economic impact on the nation. Commodity trading can be risky because it can be affected by eventualities that are difficult to predict the volatility. It indicates the pricing behaviour of the commodity and it helps to estimate the price fluctuations. This study mainly focuses on price volatility of selected 7 commodities from each sector. The study analyses the market efficiency and relationship between future and spot prices. The data was collected from MCX for a period from 2012 to 2016. Correlation, ADF Unit Root test and GARCH were used to analyse the data. The study reveals that there exist relationship between spot and future price of copper and silver.