Mukherjee, Isita; Goswami, Bhaskar - In: Financial innovation : FIN 3 (2017) 15, pp. 1-23
Background: This paper examines the pattern of the volatility of the daily return of select commodity futures in India … the analysis. The GARCH model is introduced for examining the volatility of commodity futures. One of the key … hypothesis, when tested by daily returns and using standard deviation as a crude measure of volatility, is supported for gold …