The hedging effectiveness for bank futures and CNX nifty are evaluated in this study. The study is based on 9569 observations of the daily data for these index futures. For evaluation OLS, co-integrated OLS, GARCH (1, 1) and constant correlation GARCH (1, 1) hedging methods are estimated and...

The hedging effectiveness for bank futures and CNX nifty are evaluated in this study. The study is based on 9,569 observations of the daily data for these index futures. For evaluation ordinary least square, co-integrated ordinary least square, generalized auto-regressive conditional...

CNX bank nifty trading performance represents the state of Indian banking sector and thereby evaluates the socio-economic objectives. Using bivariate GARCH (1,1) model for both CNX bank nifty and nifty futures this study found that there persist long-run relationship between the spot and futures...