After having dissected into expected and unexpected
components, the effects of trade volume and open interest on volatility are tested. A new interaction
term is also added to measure asymmetry. Four commodities, namely, cumin, soy oil and pepper in food
commodity category and guar seed in non-food commodity category are selected for the present study.
These four commodities are selected based on their economic and trading importance, i.e. weight in the
index and trading volume (liquidity).