تلخیص
The study is conducted to determine nature of volatility transmission among four financial markets which are stock prices, exchange
rate, interest rate and gold prices of Pakistan through employing the Dynamic Conditional Correlation (DCC) model using daily data
from 2008 to 2018. DCC-GARCH is used to forecast future correlations and volatilities. The analysis shows strong volatility
transmission among all variables taken except interest rate and exchange rate are those markets whose volatility does not make any
impact on each other market volatility. It also implies that market volatility plays a significant role in formulating the dynamic
strategies for government, policy makers and investors to minimize their risk level. The result also indicates that gold prices can be
used as a hedge against the stock price and exchange rate fluctuations. Results of the study are helpful for policy makers and investors
in decision making
Ghulam Mustafa, Bilal Sarwarr, Saba Bada. (2020) Volatility Transmission Among Stock Prices, Exchange Rate, Interest Rate and Gold prices of Pakistan, Paradigms , Vol 14, Issue .
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