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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 , Volume 1, pp 103-115; 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.
Keywords: model / VOLATILE / Pakistan / shocks / SSE / ARMA / stock / Conduit / Postulates / alike

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