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Comparing the Volatility Clustering Of Different Frequencies of Stock Returns in an Emerging Market: A Case Study of Pakistan

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  • Amir Rafique

Abstract

This study compares the volatility behavior and variance structure of daily, weekly and monthly returns of the KSE-100 index. The study uses seventeen years data covering the period from 1991 to 2008. By employing ARCH (1) model, the study finds significant asymmetric shocks to volatility in the three series but the intensity of the shocks are not equal for all the series. The study finds that the statistical properties are also substantially different from one another. The stylized fact of volatility clustering is found in the market but is sensitive to the frequencies of data.

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  • Amir Rafique, 2011. "Comparing the Volatility Clustering Of Different Frequencies of Stock Returns in an Emerging Market: A Case Study of Pakistan," Journal of Economics and Behavioral Studies, AMH International, vol. 3(6), pages 332-336.
    • Handle: RePEc:rnd:arjebs:v:3:y:2011:i:6:p:332-336
    DOI: 10.22610/jebs.v3i6.287
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    References listed on IDEAS

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    1. Dawood Mamoon & Eatzaz Ahmad, 2008. "Macroeconomic Uncertainty of the 1990s and Volatility at Karachi Stock Exchange," The IUP Journal of Financial Economics, IUP Publications, vol. 0(3), pages 7-28, September.
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    4. Jorge Caiado, 2004. "Modelling And Forecasting The Volatility Of The Portuguese Stock Index Psi-20," Portuguese Journal of Management Studies, ISEG, Universidade de Lisboa, vol. 9(1), pages 3-21.
    5. G.R. Pasha & Tahira Qasim & Muhammad Aslam, 2007. "Estimating and Forecasting Volatility of Financial Time Series in Pakistan with GARCH-type Models," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 12(2), pages 115-149, Jul-Dec.
    6. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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    8. M. Kabir Hassan & Anisul M. Islam & Syed Abul Basher, 2000. "Market Efficiency, Time-Varying Volatility and Equity Returns in Bangladesh Stock Market," Working Papers 2002_6, York University, Department of Economics, revised Jun 2002.
    9. repec:lje:journl:v:2:y:2007:i:2:p:115-149 is not listed on IDEAS
    10. John M. Maheu & Thomas McCurdy, 2003. "News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns," CIRANO Working Papers 2003s-38, CIRANO.
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    1. Faisal Khan & Saif-Ur-Rehman Khan & Hashim Khan, 2016. "Pricing of Risk, Various Volatility Dynamics and Macroeconomic Exposure of Firm Returns: New Evidence on Age Effect," International Journal of Economics and Financial Issues, Econjournals, vol. 6(2), pages 551-561.

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