Volatility Transmission among Macroeconomic Variables, Gold Return, Stock Return, Oil Return and Exchange Rate Return: Evidence from Pakistani Economy

Sania Nawaz and Tariq Javed

International Journal of Financial Economics, 2014, vol. 3, issue 3, 121-133

Abstract: This study employed GARCH and TGARCH models to examine the volatility transmission and asymmetry of information on volatility among macroeconomic variables in Pakistan for the period 2000 to 2010 monthly data. GARCH model results showed that volatility transmission exists among variable as overall, but few variables like gold, oil, and T-Bills rate retunes are having weak volatility connection with stock market returns. Gross Domestic Product and other variables were having volatility transmission but not too strong. Moreover TGARCH results showed symmetry of information. Study also employed an evidence of volatility transformation from past prices and returns to future time.

Keywords: Volatility; GARCH; TGARCH; transmission; asymmetry (search for similar items in EconPapers)
Date: 2014
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