This paper examines the relationship between trading activity and returns volatility in white maize futures listed on … the South African Futures Exchange (SAFEX) and investigates the impact of speculative activity on volatility. Returns … volatility is estimated using a GARCH (1,1) model. Trading activity changes are observed by computing two negatively correlated …

of volatility, volume and spreads. We review the main econometric models used for volatility analysis in an intraday … Standard & Poor 500 and Nasdaq100 index futures' data, and we point out the advantages and disadvantages of both approaches …

This paper examines the existence of dynamic spillover effects across petroleum based commodities and among spot-futures … volatilities, trading volume and open interest. Realized volatilities of spot-futures markets are used as inputs to estimate a VAR … and net effects. Results reveal the existence of large and time-varying spillovers among the spot-futures volatilities and …

This analysis is the first to investigate the influence of index futures trading volume on spot market volatility for … between VN30-Index futures trading volume and the volatility of the spot market for the HOSE in the short-run. In addition … the Ho Chi Minh Stock Exchange (HOSE). The data utilized in this study are the daily VN30-Index futures contract trading …