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Erscheinungsjahr: 
2019
Quellenangabe: 
[Journal:] Paradigms [ISSN:] 2410-0854 [Volume:] 13 [Issue:] 1 [Publisher:] University of Central Punjab [Place:] Lahore [Year:] 2019 [Pages:] 20-25
Verlag: 
University of Central Punjab, Lahore
Zusammenfassung: 
Volatility clustering and asymmetry are considered as an essential element in time series data analysis for portfolio managers. This study is conducted to analyze the volatility clustering and asymmetry occurrence by employing different GARCH models. Data is collected from 11 Religion Dominant Countries (RDCs) based on daily stock returns from 2011 to 2017. The findings of the study show that volatility clustering increases the asymmetric comportment of daily stock market returns. We estimated the analytical competence of GARCH models and found that GJR-GARCH and EGARCH executed better results than GARCH (p, q) in RDCs stock markets. It also shows that GJR-GARCH and EGAECH explain the asymmetric behavior along with an accurate assessment of volatility clustering for the selected 11 RDCs stock markets. This study helps managers, investors, and corporations to make investment-related decisions.
Schlagwörter: 
Volatility Clustering
Religion Dominant Countries
Market Returns
Asymmetric Behavior
GARCH
GJR-GARCH
EGARCH
JEL: 
G1
G14
G2
G3
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
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Dokumentart: 
Article
Dokumentversion: 
Published Version
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