of study, opening and closing prices of gold futures contract, traded on India's largest commodity exchange i.e. Multi … Commodity Exchange of India Limited (MCX), have been analysed with the help of dummy variables. Daily return from close to close …

The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this … paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility …, which accommodates level shifts, day-of-the-week effects, leverage effects and volatility level effects. Applying the model …