Overview

Original Research

IMPACT OF COVID-19 ON THE VOLATILITY OF SELECTED COMMODITY FUTURES

RAMESH MUTHANGI 1, and Dr. D. SENTHIL KUMAR 2.

Vol 17, No 10 ( 2022 )   |  DOI: 10.5281/zenodo.7287050   |   Author Affiliation: Research scholar, Department of Business Administration, Annamalai University 1; Assistant Professor, Department of Business Administration, Annamalai University 2.   |   Licensing: CC 4.0   |   Pg no: 1994-2000   |   To cite: RAMESH MUTHANGI, and Dr. D. SENTHIL KUMAR. (2022). IMPACT OF COVID-19 ON THE VOLATILITY OF SELECTED COMMODITY FUTURES. 17(10), 1994–2000. https://doi.org/10.5281/zenodo.7287050   |   Published on: 31-10-2022

Abstract

The aim of the study is to analyze the effect of covid-19 on the volatility of commodity futures contracts traded in MCX. The commodities are selected on the basis of high trading volume and the study considered daily closing prices of four commodities namely, Aluminum, Gold, Cotton and Crude oil during the period 1st January 2008 till 31st August 2022. The present study employed ARMA-EGARCH model for analysis. The study revealed mixed effect on the selected commodities, (i.e.) Aluminum and Crude are significant and Cotton and Gold are insignificant.

Keywords

Covid-19, ARMA-EGARCH, Volatility, MCX