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

Author

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  • Khan, Muhammad Salman
  • Khan, Kanwal Iqbal
  • Mahmood, Shahid
  • Sheeraz, Muhammad

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.

Suggested Citation

  • Khan, Muhammad Salman & Khan, Kanwal Iqbal & Mahmood, Shahid & Sheeraz, Muhammad, 2019. "Symmetric and Asymmetric Volatility Clustering Via GARCH Family Models: An Evidence from Religion Dominant Countries," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 13(1), pages 20-25.
    • Handle: RePEc:zbw:espost:200205
    DOI: 10.24312/1900148130104
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    Citations

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    Cited by:

    1. Bashir, Taqadus & Khalid, Shujaat & Iqbal Khan, Kanwal & Javed, Saman, 2019. "Interest Rate Risk Management by Financial Engineering in Pakistani Non-Financial Firms," MPRA Paper 96426, University Library of Munich, Germany.
    2. Kanwal Iqbal Khan & Syed M. Waqar Azeem Naqvi & Muhammad Mudassar Ghafoor & Rana Shahid Imdad Akash, 2020. "Sustainable Portfolio Optimization with Higher-Order Moments of Risk," Sustainability, MDPI, vol. 12(5), pages 1-14, March.
    3. Adeel Nasir & Kanwal Iqbal Khan & Mário Nuno Mata & Pedro Neves Mata & Jéssica Nunes Martins, 2021. "Optimisation of Time-Varying Asset Pricing Models with Penetration of Value at Risk and Expected Shortfall," Mathematics, MDPI, vol. 9(4), pages 1-38, February.
    4. Rewat Khanthaporn, 2022. "Analysis of Nonlinear Comovement of Benchmark Thai Government Bond Yields," PIER Discussion Papers 183, Puey Ungphakorn Institute for Economic Research.

    More about this item

    Keywords

    Volatility Clustering; Religion Dominant Countries; Market Returns; Asymmetric Behavior; GARCH; GJR-GARCH; EGARCH;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G2 - Financial Economics - - Financial Institutions and Services
    • G3 - Financial Economics - - Corporate Finance and Governance

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