Volatility, Global Proxy Index, V-A-R: Empirical Study on Pakistan And China Stock Exchanges

International Journal of Advances in Data and Information Systems

View Publication Info
 
 
Field Value
 
Title Volatility, Global Proxy Index, V-A-R: Empirical Study on Pakistan And China Stock Exchanges
 
Creator Arslan, Muhammad
Ahmed, Wajid Shakeel
Akhter , Mansoor
 
Subject Global proxy index
PSX
SSE
Log-GARCH (1, 1)
ARMA-GARCH (1, 1)
FHS
V-a-R @ 5%
 
Description This study postulates that propose global proxy index is a significant conduit to evaluate the shocks in volatile stock markets i.e. PSX and SSE, alike. The two separate models i.e. Log-GARCH (1, 1) and ARMA-GARCH (1, 1) have been used along with the value at risk (V-a-R) @ 5% criteria for choosing best-fitted model. The study results showed Log-GARCH (1, 1) model proves to the best. This study results are not driven by political-level risks and thus independent study can be conducted to evaluate the detrimental consequences on investment opportunities under volatile environments.
 
Publisher Indonesian Scientific Journal
 
Date 2020-10-15
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier http://ijadis.org/index.php/IJADIS/article/view/volatility-global-proxy-index-v-a-r-empirical-study-on-pakistan-
10.25008/ijadis.v1i2.183
 
Source International Journal of Advances in Data and Information Systems; Vol. 1 No. 2 (2020): October 2020 - International Journal of Advances in Data and Information Systems; 103-115
2721-3056
 
Language eng
 
Relation http://ijadis.org/index.php/IJADIS/article/view/volatility-global-proxy-index-v-a-r-empirical-study-on-pakistan-/17
 
Rights Copyright (c) 2020 Muhammad Arslan, Wajid Shakeel Ahmed, Mansoor Akhter
https://creativecommons.org/licenses/by-sa/4.0
 

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