Volatility & Relationship of Gold & Gold ETF in India
This research article was intended to estimate the volatility and connection between real Gold and Gold Exchange Traded Fund (ETF) in India by using various statistical models. The data for the study period for three years period 2015-2018 acquired from the National Stock Exchange of India’s historical statistics and others. The outcome of this study was found that there are a strong positive short-run relationship and long-run equilibrium relation between gold and Gold ETFs. It is unidirectional, and few bidirectional causes and relationship existed in this study. This Study is fit to be analyzed GARCH model to estimate volatility in the Gold price returns; it shows there persist the volatility effect. This study will be helpful to investors in the selection of better investment options.
