The dynamics between trading volume and volatility for seven agricultural futures markets are examined by drawing on … futures markets. In general, the findings indicate that volatility of agricultural futures markets is driven by previous … trades across different periods, which can have different effects on the volatility-volume relation. The results show that …

The generalized autoregressive conditional heteroscedastic model (GARCH) is used to estimate volatility for Nifty Index … futures on day trades. The purpose is to find out if a contemporaneous or causal relation exists between volatility volume and … open interest for Nifty Index futures traded on the National Stock Exchange of India, and the extent and direction of these …

volatility. The vector MEM relaxes the two restrictions often imposed by previous empirical work in market microstructure …