The macroeconomic variables impact on commodity futures volatility: A study on Indian markets

The research investigated the impact of macroeconomic variables on the volatility of the commodity futures market in India (together with oil futures, agricultural commodity futures and metal futures). The monetary policies, ﬁnancial market information and economic environments are determined by the...

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Autores principales:	Nenavath Sreenu, K.S. S. Rao, Kishan D
Formato:	article
Lenguaje:	EN
Publicado:	Taylor & Francis Group 2021
Materias:	macroeconomic variables emerging markets commodity futures volatility garch-midas model Business HF5001-6182 Management. Industrial management HD28-70
Acceso en línea:	https://doaj.org/article/10d9c5602f684f8282e52e35746e1b83
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id	oai:doaj.org-article:10d9c5602f684f8282e52e35746e1b83
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spelling	oai:doaj.org-article:10d9c5602f684f8282e52e35746e1b832021-12-02T16:24:48ZThe macroeconomic variables impact on commodity futures volatility: A study on Indian markets2331-197510.1080/23311975.2021.1939929https://doaj.org/article/10d9c5602f684f8282e52e35746e1b832021-01-01T00:00:00Zhttp://dx.doi.org/10.1080/23311975.2021.1939929https://doaj.org/toc/2331-1975The research investigated the impact of macroeconomic variables on the volatility of the commodity futures market in India (together with oil futures, agricultural commodity futures and metal futures). The monetary policies, ﬁnancial market information and economic environments are determined by the macroeconomic variables. The low-frequency macroeconomic variables and daily price volatility is studied in the research employed by the GARCH-MIDAS model. This model simplifies the series of volatility into long- and short-run modules, which allow for the testing of the macroeconomic variables can control the long-run variance or not. The current study reveals the effect on long-run volatility factor in the commodity market, and the majority of verified data have shown that low-frequency variables have a positive impact in the long-run variance of the commodity futures market. The outcome of the study suggested that the national and international economic variables perform a substantial part in assessing the price volatility of the commodity futures market in India.Nenavath SreenuK.S. S. RaoKishan DTaylor & Francis Grouparticlemacroeconomic variablesemerging marketscommodity futuresvolatilitygarch-midas modelBusinessHF5001-6182Management. Industrial managementHD28-70ENCogent Business & Management, Vol 8, Iss 1 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	macroeconomic variables emerging markets commodity futures volatility garch-midas model Business HF5001-6182 Management. Industrial management HD28-70
spellingShingle	macroeconomic variables emerging markets commodity futures volatility garch-midas model Business HF5001-6182 Management. Industrial management HD28-70 Nenavath Sreenu K.S. S. Rao Kishan D The macroeconomic variables impact on commodity futures volatility: A study on Indian markets
description	The research investigated the impact of macroeconomic variables on the volatility of the commodity futures market in India (together with oil futures, agricultural commodity futures and metal futures). The monetary policies, ﬁnancial market information and economic environments are determined by the macroeconomic variables. The low-frequency macroeconomic variables and daily price volatility is studied in the research employed by the GARCH-MIDAS model. This model simplifies the series of volatility into long- and short-run modules, which allow for the testing of the macroeconomic variables can control the long-run variance or not. The current study reveals the effect on long-run volatility factor in the commodity market, and the majority of verified data have shown that low-frequency variables have a positive impact in the long-run variance of the commodity futures market. The outcome of the study suggested that the national and international economic variables perform a substantial part in assessing the price volatility of the commodity futures market in India.
format	article
author	Nenavath Sreenu K.S. S. Rao Kishan D
author_facet	Nenavath Sreenu K.S. S. Rao Kishan D
author_sort	Nenavath Sreenu
title	The macroeconomic variables impact on commodity futures volatility: A study on Indian markets
title_short	The macroeconomic variables impact on commodity futures volatility: A study on Indian markets
title_full	The macroeconomic variables impact on commodity futures volatility: A study on Indian markets
title_fullStr	The macroeconomic variables impact on commodity futures volatility: A study on Indian markets
title_full_unstemmed	The macroeconomic variables impact on commodity futures volatility: A study on Indian markets
title_sort	macroeconomic variables impact on commodity futures volatility: a study on indian markets
publisher	Taylor & Francis Group
publishDate	2021
url	https://doaj.org/article/10d9c5602f684f8282e52e35746e1b83
work_keys_str_mv	AT nenavathsreenu themacroeconomicvariablesimpactoncommodityfuturesvolatilityastudyonindianmarkets AT kssrao themacroeconomicvariablesimpactoncommodityfuturesvolatilityastudyonindianmarkets AT kishand themacroeconomicvariablesimpactoncommodityfuturesvolatilityastudyonindianmarkets AT nenavathsreenu macroeconomicvariablesimpactoncommodityfuturesvolatilityastudyonindianmarkets AT kssrao macroeconomicvariablesimpactoncommodityfuturesvolatilityastudyonindianmarkets AT kishand macroeconomicvariablesimpactoncommodityfuturesvolatilityastudyonindianmarkets
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The macroeconomic variables impact on commodity futures volatility: A study on Indian markets

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