Analysis of Volatility Volume and Open Interest for Nifty Index Futures Using GARCH Analysis and VAR Model
Round 1
Reviewer 1 Report
The subject of the work is potentially interesting - to find out if a contemporaneous or causal relation exists between volatility volume and open interest for NIFTY traded on the NSE and the extent and direction of these relationships. In my oppinion the paper based on the earlier published known models. The authors should indicate their unique contributions precisely. Authors should justify why used the data form this horizon: 2014-2019. Chapter "Conclusion" should be
expanded (all result should be in this chapter - not in "Introduction"). From the editorial point of view, all text should be written in the same font size (line 43-45), formulas have wrong format (line 230-235).
Author Response
1) Unique Contribution - Lines 74-78 (highlighted in green)
2) Data span - From the year 2014 volumes traded were adequate. In the year 2013 volumes traded were very low compared to 2019
3) Conclusion re - written: Lines 350 -375
4) All text is in the same font (Palatino Linotype) 10
5) Fonts of the formulae have been corrected (Palatino Linotype)
6) Results - Methodology has been reworked and results are stated in the conclusion
Author Response File: 
Author Response.pdf
Reviewer 2 Report
1. Unit root test should be able to add KPSS test to verify the stationary state of nonlinear data.
2. The skewness of Volatility, Volume and Open interest data are all left-biased. Does it reflect the special information meaning of market transactions?
3. The author should perform an asymmetry test, and then decide whether to use the GARCH model or the EGARCH model based on the test results?
4. The refernce format needs to be revised and supplemented with publication information in accordance with journal requirements. E.g:
reference 9: Desai, J., & Joshi, N. A. (2018). RELATION BETWEEN OPEN INTEREST AND VOLATILITY IN FUTURES MARKETS. Journal of Management (JOM), 5(1)
reference 12: Engle, R. (2001). GARCH 101: The use of ARCH/GARCH models in applied econometrics. Journal of economic perspectives, 15(4), 157-168
Author Response
1) KPSS unit root test added - Lines 203-207 (Highlighted in yellow)
2) Interpretation of Left skewness - Lines 351-352 (Conclusion)
3) Asymmetric test - 235-250
4) references revised
Author Response File: Author Response.pdf
Round 2
Reviewer 1 Report
From the editorial point of view paper needs to be corrected, formulas look like bitmaps, inconsistent numbering formulas ( equations (i) and (ii) or equations (1) and (2)) etc.
Author Response
Dear Reviewer
I have typed the formulas and numbered them consistently as Equation (i) ,Equation (ii),Equation (iii)
Thank you
Author Response File: Author Response.pdf
Reviewer 2 Report
This paper can be accepted in current form.
Author Response
Paper revised according to reviewer 1
Thank you reviewer 2 for accepting the paper
Regards
Parizad Dungore
