On the linkages among ex-ante and ex-post volatility Evidence from NSE options market (India)

By:

SHAIKH, IMLAK

Contributor(s):

PADHI, PUJA

Material type:

Mixed materialsPublication details: 2013Description: 487-505Subject(s):

MARKETING

NLM classification:

658.8

In: GLOBAL BUSINESS REVIEWMSummary: This article investigates the cointegration level and changes in the existence and direction of casuality among volatilities. Vector autoregressive (VAR) model enables us to conduct granger- causality and impulse response analysis and determine the pattern of causality. The empirical findings uncover that ex-ante volatility best impounds the market wide information to explain the ex post volatility.

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Holdings
Item type	Current library	Call number	Vol info	Status	Date due	Barcode
Periodicals/Magazines	SSCBS Library		14/3	Available		P15106

This article investigates the cointegration level and changes in the existence and direction of casuality among volatilities. Vector autoregressive (VAR) model enables us to conduct granger- causality and impulse response analysis and determine the pattern of causality. The empirical findings uncover that ex-ante volatility best impounds the market wide information to explain the ex post volatility.

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