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

Muhammad Arslan; Wajid Shakeel Ahmed; Mansoor  Akhter

doi:10.25008/ijadis.v1i2.183

Authors

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

DOI:

https://doi.org/10.25008/ijadis.v1i2.183

Keywords:

Global proxy index, PSX, SSE, Log-GARCH (1, 1), ARMA-GARCH (1, 1), FHS, V-a-R @ 5%

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.

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