AN ASSESSMENT OF VOLATILITY TRANSMISSION IN THE PAKISTAN, INDIA AND SRI LANKA STOCK MARKETS USING BEKK-GARCH MODEL.
Journal Title: International Journal of Advanced Research (IJAR) - Year 2019, Vol 7, Issue 6
Abstract
This paper inspects the dynamics of volatility and volatility co-movement among Pakistan (KSE-100), India (BSESN) and Sri Lanka (CSE) stocks markets. The volatility and cross-volatility are modeled via BEKK-GARCH model using daily returns indices of the selected stock markets from January, 2011 to January, 2019. Empirical analysis reveals that BEKK-GARCH (1,1) model is found to be appropriate as it has less number of parameters (parsimony). The value of GARCH parameter is high in BSESN which indicates that Indian stock market is highly persistent. This shows that if shocks occur it will take a long time to die out from the market dilemma. However, the coefficient of GARCH has minimum value in KSE-100 among all. On the other hand, the value of short run shock (ARCH coefficient) is high in CSE. This suggests that volatility is more sensitive to past market events for a short period of time. The strongest cross-market effect is detected between India and Sri Lanka. On the contrary, the volatility co-movement is high between Pakistan and Sri Lanka.
Authors and Affiliations
Samreen Fatima and MudassirUddin.
Keywords
Related Articles
- EP ID EP611317
- DOI 10.21474/IJAR01/9202
- Views 98
- Downloads 0
MECHANICAL PROPERTIES OF MINERAL STONE WOOL FIBERS BASED ON MIXTURE OF BLAST FURNACE SLAG AND DIABASE.
Metallurgical slag is a valuable, but insufficiently used by-product especially from the production of iron and steel.This paper investigates the potential of employing the mixtures of blast furnace slag and naturally oc...
L?HAMARTOME MAMMAIRE SANS COMPOSANTE GRAISSEUSE: A PROPOS D?UN CAS.
Mots cles :Sein, hamartome mammaire, composante graisseuse, mammographie. Summary:Mammary hamartoma is a rare benign lesion with a frequency that ranges from 0.1 to 0.7% of all benign breast tumors. This is aunderdiagnos...
TUBERCULOSIS DIAGNOSIS USING X-RAY IMAGES.
Tuberculosis (TB) is caused by the bacteria Mycobacterium tuberculosis. It most often affects the lungs. Tuberculosis is a preventable and curable disease. The Global Annual TB report, 1.5 million TB related deaths were...
COMPARATIVE STUDY ON WATER SORPTION AND SOLUBILITY OF THREE SOFT LINERS IN DIFFERENT SOLUTIONS: AN IN-VITRO STUDY.
Aim:Two silicone based soft denture lining materials (Mollosil, Molloplast-B), and an acrylic resin based soft denture liner (Viscogel) were selected for comparative evaluation of sorption and solubility in different sol...
RESEARCH OF THE RELATIONSHIP BETWEEN THE CONTENT OF HEAVY METALS IN SEDIMENT DUST AND AGRICULTURAL SOIL IN THE AREA SURROUNDING THE STEELWORKS ZENICA.
This paper contains analysis of the results after monitoring the content of heavy metals (Pb, Cd, Fe, Zn, Ni, Cr and Mn) in sediment dust and agricultural soil in nine locations surrounding steelworks Zenica from March t...