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

Authors

  • Muhammad arslan Faculty of Management Sciences Capital University of Science and Technology, Islamabad, Pakistan
  • Wajid Shakeel Ahmed Faculty of Management Sciences COMSATS Institute of Information Technology, Islamabad
  • Mansoor Akhter University Institute of Management Sciences PMAS-Arid Agriculture University, Rawalpindi, Pakistan

DOI:

https://doi.org/10.25008/ijadis.v1i2.183

Keywords:

Global proxy index, PSX, SSE, Log-GARCH (1, 1), ARMA-GARCH (1, 1), FHS, V-a-R @ 5%

Abstract

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.

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Published

2020-05-15

How to Cite

arslan, M., Ahmed, W. S., & Akhter , M. . (2020). Volatility, Global Proxy Index, V-A-R: Empirical Study on Pakistan And China Stock Exchanges. International Journal of Advances in Data and Information Systems, 1(2), 103-115. https://doi.org/10.25008/ijadis.v1i2.183
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