*Research Scholar, ITM University, Gurgaon, Haryana, India
**Assistant Professor, ITM University, Gurgaon, Haryana, India
***Professor Emeritus, ITM University, Gurgaon, Haryana, India
Stock market volatility is an important phenomenon worldwide. Continuous efforts are being made from time to time to understand the characteristics of the volatility in spot market, futures and options etc. However, Indian Commodity Futures is less researched area so far. To address this issue, present paper attempts to assess the volatility characteristics of Indian Commodity Futures. An empirical analysis of all MCX Indices viz., COMDEX, METAL, ENERGY AND AGRI has been performed for the period starting from 2005 to 2014. Basic stylized facts of financial time series data like persistence, half-life, mean reversion and leverage effect have been studied. The findings of the research show that all MCX indices confirm persistence and mean reversion. Volatility Half-life varies from 2 to 1571 days for different indices. ENERGYF is providing evidence for highest volatility with annualized volatility value of around 25 and it takes 309 days to get back to its unconditional mean. In case of COMDEX and ENERGY, negative innovations have registered significant impact on volatility whereas positive significant impact has been established for AGRI and METAL. This paper has implications for the traders investing in the commodity futures and policy makers as it helps in understanding the overall behavior of the market.
Commodity Futures, MCX Indices, Volatility clustering, Persistence, Mean Reversion, Volatility Half-Life, leverage effect
