"FIERY NATURE EVALUATION USING ARCH FAMILY MODELS: AN APPLICATION TO INSTITUTIONAL INVESTORS ON ENERGYCOMMODITY DERIVATIVES MARKET"

Authors

Dr. M. Anbukarasi (Assistant Professor) & M.Devaki
School of Commerce, Bharathiar University, Coimbatore, Tamil Nadu, India.

Abstract

Volatility estimation has been at the centre stage of management is derivative market. There are various methods, which comes to rescue for estimation of volatility. The purpose of this paper is to estimate the volatility using ARCH family models: contrast with Institutional Investors and energy commodity derivatives market for a period of January 2017 to December 2019. The monthly closing price for Institutional Investors and monthly total value for energy commodities includes Crude oil and Natural gas, totally 36 monthly observations have been taken for the study to analyze the volatility of the market. ARCH (5,0), GARCH (1,1), TGARCH (1,1) and EGARCH (1,1) model is applied for evaluating the explosive nature of the institutional investors on energy commodity derivatives market. By analyzing the volatility of crude oil energy commodity shows there is a influence on institutional investors by applying the GARCH (1,1) model; Natural Gas energy commodity proves there is an influence on institutional investors with the proof of EGARCH (1,1) model were applied. Overall, the study found that there is an influence of energy commodity market on institutional investors investment pattern by adopting the ARCH family models with Normal Gaussian error distribution.