The volatility of bank stock prices and macroeconomic fundamentals in the Pakistani context : an application of GARCH and EGARCH models
Year of publication: |
2020
|
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Authors: | Mohsin, Muhammad ; Naiwen, Li ; Zia-ur-Rehman, Muhammad ; Naseem, Sobia ; Baig, Sajjad Ahmad |
Published in: |
Oeconomia Copernicana. - Olsztyn, Poland : Institute of Economic Research, ISSN 2353-1827, ZDB-ID 2754520-9. - Vol. 11.2020, 4, p. 609-636
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Subject: | bank stock return | OLS-HAC | GARCH | EGARCH | ARCH-Modell | ARCH model | Volatilität | Volatility | Börsenkurs | Share price | Bank | Pakistan | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation |
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