Husain, Fazal; UPPAL, Jamshed - Volkswirtschaftliche Fakultät, … - 1999
This paper examines stock returns volatility in the Pakistani equity market. Using daily stock prices of 36 companies … equity market is the presence of conditional heteroscedasticity or volatility in stock returns and that even after … controlling for volatility the returns in the market are, in general, predictable. The results show GARCH(1,1) to be an …