Symmetric and Asymmetric Volatility Clustering Via GARCH Family Models: An Evidence from Religion Dominant Countries

Khan, M. S., Khan, K. I., Mahmood, S., & Sheeraz, M. (2019). Symmetric and asymmetric volatility clustering via GARCH family models: An evidence from religion dominant countries. Paradigms, 13(1), 20-25.

6 Pages Posted: 12 Jul 2019

See all articles by Muhammad Salman Khan

Muhammad Salman Khan

affiliation not provided to SSRN

Kanwal Iqbal Khan

National College of Business Administration and Economics (NCBA&E)

Shahid Mahmood

The Islamia University of Bahawalpur, Pakistan

Muhammad Sheeraz

Air University Islamabad

Date Written: July 11, 2019

Abstract

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.

Keywords: Volatility Clustering, Religion Dominant Countries, Market Returns, Asymmetric Behavior, GARCH, GJR-GARCH, EGARCH

JEL Classification: G1, G14, G2, G3

Suggested Citation

Khan, Muhammad Salman and Khan, Kanwal Iqbal and Mahmood, Shahid and Sheeraz, Muhammad, Symmetric and Asymmetric Volatility Clustering Via GARCH Family Models: An Evidence from Religion Dominant Countries (July 11, 2019). Khan, M. S., Khan, K. I., Mahmood, S., & Sheeraz, M. (2019). Symmetric and asymmetric volatility clustering via GARCH family models: An evidence from religion dominant countries. Paradigms, 13(1), 20-25.. Available at SSRN: https://ssrn.com/abstract=3418388

Muhammad Salman Khan

affiliation not provided to SSRN

Kanwal Iqbal Khan (Contact Author)

National College of Business Administration and Economics (NCBA&E) ( email )

40/E-1, Gulberg-III
National College of Business Administration & Econ
Lahore, Punjab 54660
Pakistan

Shahid Mahmood

The Islamia University of Bahawalpur, Pakistan ( email )

Bahawalpur, Punjab 63100
Pakistan

Muhammad Sheeraz

Air University Islamabad ( email )

islamabad, PA islamabad 60000
Pakistan

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