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

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)

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

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.