Equity market volatility using garch models- evidence from Pakistan stock exchange (kse-100 index)
نویسندگان
چکیده
منابع مشابه
Modeling Stock Market Volatility Using Univariate GARCH Models: Evidence from Bangladesh
This paper investigates the nature of volatility characteristics of stock returns in the Bangladesh stock markets employing daily all share price index return data of Dhaka Stock Exchange (DSE) and Chittagong Stock Exchange (CSE) from 02 January 1993 to 27 January 2013 and 01 January 2004 to 20 August 2015 respectively. Furthermore, the study explores the adequate volatility model for the stoc...
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this paper investigates the nature of volatility characteristics of stock returns in the bangladesh stock markets employing daily all share price index return data of dhaka stock exchange (dse) and chittagong stock exchange (cse) from 02 january 1993 to 27 january 2013 and 01 january 2004 to 20 august 2015 respectively. furthermore, the study explores the adequate volatility model for the stoc...
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The discrete time ARCH/GARCH model of Engle and Bollarslev has been enormously influential and successful in the modelling of financial data. Recently, Klüppelberg, Lindner, andMaller (2004) introduced the so-called “COGARCH”model as a continuoustime analogue to the GARCH model. Many aspects of the COGARCH have been investigated, including various of its theoretical properties, its relations to...
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ژورنال
عنوان ژورنال: International Journal of Accounting and Economics Studies
سال: 2016
ISSN: 2309-4508
DOI: 10.14419/ijaes.v4i2.6200