Volatility & Relationship of Gold & Gold ETF in India

Volatility & Relationship of Gold & Gold ETF in India

Mr. Ram Raj G * §

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University of Madras

Volatility & Relationship of Gold & Gold ETF in India

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Abstract

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.

References

15 Cites in Article

Reference Format

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Funding

No external funding was declared for this work.

Conflict of Interest

The authors declare no conflict of interest.

Ethical Approval

No ethics committee approval was required for this article type.

Data Availability

Not applicable for this article.

How to Cite This Article

Mr. Ram Raj G Ram Raj G. 1970. "Volatility & Relationship of Gold & Gold ETF in India". Global Journal of Management and Business Research - B: Economic & Commerce GJMBR-B Volume 19 (GJMBR Volume 19 Issue B3).

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GJMBR Volume 19 Issue B3

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Journal Specifications

Crossref Journal DOI 10.17406/GJMBR

Print ISSN 0975-5853

e-ISSN 2249-4588

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Classification

GJMBR-B Classification JEL Code: O10

Published August 7, 2019

Version of record

v1.2

Issue date

August 7, 2019

Language

English

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