Time Varying Volatility Modeling of Pakistani and leading foreign stock markets

Ghulam Ghouse, Saud Ahmed Khan and Muhammad Arshad

MPRA Paper from University Library of Munich, Germany

Abstract: This study estimates the volatility of Pakistani and leading foreign stock markets. Daily data are used from nine international equity markets (KSE 100, NIKKEI 225, HIS, S&P 500, NASDAQ 100, DOW JONES, GADXI, FTSE 350 and DFMGI) for the period of Jan, 2005 to Nov, 2014. The whole data set is used for modeling of time varying volatility of stock markets. Univariate GARCH type models i.e. GARCH and GJR are employed for volatility modeling of Pakistani and leading foreign stock markets. The residual analysis also employed to check the validity of models. Our study brings important conclusions for financial institutions, portfolio managers, market players and academician to diagnose the nature and level of linkages between the financial markets.

Keywords: Volatility; Equity Market; GARCH and GJR (search for similar items in EconPapers)
JEL-codes: G1 G15 (search for similar items in EconPapers)
Date: 2015-12-30
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Working Paper: Time Varying Volatility Modeling of Pakistani and leading foreign stock markets (2015)
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