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All Journal International Journal of Advances in Data and Information Systems
Wajid Shakeel Ahmed
Faculty of Management Sciences COMSATS Institute of Information Technology, Islamabad
Computer Science & IT Electrical & Electronics Engineering

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Volatility, Global Proxy Index, V-A-R: Empirical Study on Pakistan And China Stock Exchanges Muhammad Arslan; Wajid Shakeel Ahmed; Mansoor Akhter
International Journal of Advances in Data and Information Systems Vol. 1 No. 2 (2020): October 2020 - International Journal of Advances in Data and Information System
Publisher : Indonesian Scientific Journal

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.25008/ijadis.v1i2.183

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.
Co-Authors Mansoor Akhter Muhammad Arslan