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COVID-19 pandemic & financial market volatility : evidence from GARCH models
Khan, Maaz; Kayani, Umar Nawaz; Khan, Mrestyal; Mughal, … - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-20
-19 pandemic. We applied the GARCH (1, 1), GJR-GARCH (1, 1), and EGARCH (1, 1) econometric models on the daily time series … positive asymmetric behavior during the pandemic. Apart from this, the results also reveal that EGARCH is the most appropriate …
Persistent link: https://www.econbiz.de/10014289566
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Asymmetric Behavior of Inflation Uncertainty and Friedman-Ball Hypothesis: Evidence from Pakistan
Rizvi, Syed Kumail Abbas; Naqvi, Bushra - Volkswirtschaftliche Fakultät, … - 2008
EGARCH models, for further analysis of asymmetry and leverage effects, we developed news impact curves proposed by Pagan and … for Pakistani data. We get two important results. First, GJR-GARCH and EGARCH models are more successful in capturing …
Persistent link: https://www.econbiz.de/10008502746
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Inflation Volatility: An Asian Perspective
Rizvi, Syed Kumail Abbas; Naqvi, Bushra - Volkswirtschaftliche Fakultät, … - 2009
The primary purpose of this study is to model and analyze inflation volatility in ten selected Asian economies. We used quarterly data of inflation from 1987Q1 to 2008Q4 to model inflation volatility as time varying process through different symmetric and asymmetric GARCH specifications. We also...
Persistent link: https://www.econbiz.de/10008497650