Asian Journal of Research in Social Sciences and Humanities
  • Year: 2014
  • Volume: 4
  • Issue: 4

Modeling Volatility of Gold-Futures’ Returns using GARCH-Family Models: Empirical Evidence from Pakistan

  • Author:
  • Ehsan Ahmed Shaikh, Syed Muhammad Ahsan Rizvi, Rizwana Bashir, Maawra Salam
  • Total Page Count: 8
  • Page Number: 20 to 27

*Assistant Professor, Govt. Degree Boys College, Karachi

**Assistant Professor, Bahria University, Karachi Campus, Karachi

***Research Assistant, Bahria University, Karachi Campus, Karachi

Online published on 15 April, 2014.

Abstract

This study aims at finding the most appropriate model for investigating volatility of gold-futures’ returns using various GARCH family models for Pakistan. Estimating ARMA (1,1)-GARCH(1,1), GJR-GARCH and GARCH-M models, this study finds that GJR-GARCH and GARCH-M are not appropriate models to describe volatility of gold-futures’ returns. Whereas, ARMA (1, 1)-GARCH (1, 1) proves to be the most suitable model.

Keywords

GARCH, Volatility, Gold Futures, Pakistan, Asymmetry