This paper investigates the hedging effectiveness of the S&P CNX Nifty index futures by employing four competing models, viz., the simple Ordinary Least Squares (OLS) method, the Bivariate Vector Autoregressive (BVAR) model, the Vector Error Correction Model (VECM), and the multivariate...

Volatility forecasting is an important area of research in financial markets and immense effort has been expended in improving volatility models, since better forecasts translate themselves into better pricing of options and better risk management. In this direction, the present paper attempts...