Open AccessVolatility, Global Proxy Index, V-A-R: Empirical Study on Pakistan And China Stock Exchanges
Author(s) -
Muhammad Arslan,
Wajid Shakeel Ahmed,
Mansoor Akhter
Publication year - 2020
Publication title -
international journal of advances in data and information systems
Language(s) - English
Resource type - Journals
ISSN - 2721-3056
DOI - 10.25008/ijadis.v1i2.183
Subject(s) - autoregressive conditional heteroskedasticity , volatility (finance) , proxy (statistics) , econometrics , stock (firearms) , economics , stock market index , value at risk , financial economics , china , index (typography) , stock exchange , mathematics , statistics , stock market , risk management , finance , geography , computer science , context (archaeology) , archaeology , world wide web
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.