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首页> 外文期刊>Global Economy Journal >MODELING AND FORECASTING VOLATILITY OF STOCK MARKET USING FAMILY OF GARCH MODELS: EVIDENCE FROM CPEC LINKED COUNTRIES
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MODELING AND FORECASTING VOLATILITY OF STOCK MARKET USING FAMILY OF GARCH MODELS: EVIDENCE FROM CPEC LINKED COUNTRIES

机译：使用GARCH系列模型对股市波动进行建模和预测：来自中巴经济走廊相关国家的证据

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摘要

For economists and investors, it is necessary to understand the random and nonlinear pattern of the stock market volatility. High volatility directly affects the financial market that leads to unpredictability. China-Pakistan Economic Corridor attracts economists and investors worldwide. Therefore, predicting the volatility of the stock markets related to CPEC is important. In this study we consider the most important stock markets lying on the route of CPEC, namely KSE 100 (Pakistan), SSE 100 (China), TADAWUL (Kingdom of Saudi Arabia), KASE (Kazakhstan), KLSE (Malaysia), BIST (Turkey), MOEX (Russia), FTSE (United Kingdom) and CAC40 (France). The daily returns of stock market indices consist of 1706 observations from December 2014 to July 2021. After the confirmation from the ARCH effect test, family GARCH models are employed, among them, based on AIC and BIC criteria, GARCH (1,1), EGARCH (1,1), and GARCH-M (1,1) are found suitable to forecast the volatility. The empirical study also suggests that the out-of-sample forecast GARCH-M (1,1) model is more appropriate as it has a minimum value of MAE, MSE, RMSE, MAPE, TheilU1, and Theil U2 among all the studied GARCH models. Furthermore, it is also found that the KSE-100 and SSE-100 have moderate and slow market average returns even though both stock markets are found to be the least risk-returns markets.
机译：对经济学家和投资者来说,这是必要的理解随机和非线性的模式股票市场的波动。直接影响导致的金融市场不可预测性。走廊吸引了经济学家和投资者在全球范围内。CPEC相关的股票市场重要的。重要的股市躺在路线凯思TADAWUL(沙特阿拉伯王国)MOEX(俄罗斯),富时(英国)和CAC40指数(法国)。指数由1706年的观察2014年12月至2021年7月。确认从拱效应测试,家庭GARCH模型,其中,基于AIC和BIC准则,GARCH (1, 1), EGARCH (1,1),和GARCH-M(1,1)是发现合适的预测的波动。样本外预测GARCH-M (1,1)模型更合适,因为它有一个最小值价值的美、MSE、RMSE,日军TheilU1,赛尔U2在所有的GARCH模型进行了研究。此外,还发现kse - 100和sse - 100温和而缓慢市场平均水平虽然股市都发现回报最小风险回报的市场。

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