{"id":"https://openalex.org/W2478475877","doi":"https://doi.org/10.1108/jabs-05-2015-0060","title":"Modeling volatility on the Karachi Stock Exchange, Pakistan","display_name":"Modeling volatility on the Karachi Stock Exchange, Pakistan","publication_year":2016,"publication_date":"2016-08-01","ids":{"openalex":"https://openalex.org/W2478475877","doi":"https://doi.org/10.1108/jabs-05-2015-0060","mag":"2478475877"},"language":"en","primary_location":{"id":"doi:10.1108/jabs-05-2015-0060","doi":"https://doi.org/10.1108/jabs-05-2015-0060","is_oa":false,"landing_page_url":"https://doi.org/10.1108/jabs-05-2015-0060","pdf_url":null,"source":{"id":"https://openalex.org/S202264103","display_name":"Journal of Asia Business Studies","issn_l":"1558-7894","issn":["1558-7894","1559-2243"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-c","anvur-scientific","cwts-core","jufo-1","norway-1","poland-40","russia-white-list-1"],"host_organization":"https://openalex.org/P4310319811","host_organization_name":"Emerald Publishing Limited","host_organization_lineage":["https://openalex.org/P4310319811"],"host_organization_lineage_names":["Emerald Publishing Limited"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Asia Business Studies","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5033254397","display_name":"Shahan Akhtar","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I36001604","display_name":"University of Peshawar","ror":"https://ror.org/02t2qwf81","country_code":"PK","type":"education","lineage":["https://openalex.org/I36001604"]}],"countries":["PK"],"is_corresponding":false,"raw_author_name":"Shahan Akhtar","raw_affiliation_strings":["Institute of Management Studies, University of Peshawar, Peshawar, Pakistan"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Institute of Management Studies, University of Peshawar, Peshawar, Pakistan","institution_ids":["https://openalex.org/I36001604"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5086975745","display_name":"Naimat Ullah Khan","orcid":"https://orcid.org/0000-0002-2467-9586","observed_orcids":["https://orcid.org/0000-0002-2467-9586"]},"institutions":[{"id":"https://openalex.org/I36001604","display_name":"University of Peshawar","ror":"https://ror.org/02t2qwf81","country_code":"PK","type":"education","lineage":["https://openalex.org/I36001604"]}],"countries":["PK"],"is_corresponding":false,"raw_author_name":"Naimat U. Khan","raw_affiliation_strings":["Institute of Management Studies, University of Peshawar, Peshawar, Pakistan"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Institute of Management Studies, University of Peshawar, Peshawar, Pakistan","institution_ids":["https://openalex.org/I36001604"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I36001604"],"apc_list":null,"apc_paid":null,"fwci":3.9042,"has_fulltext":false,"cited_by_count":26,"citation_normalized_percentile":{"value":0.93102585,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":"10","issue":"3","first_page":"253","last_page":"275"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":1.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":1.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.0,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/stock-market-volatility","display_name":"stock market volatility","score":0.878000020980835},{"id":"https://openalex.org/keywords/karachi-stock-exchange","display_name":"Karachi Stock Exchange","score":0.9470000267028809},{"id":"https://openalex.org/keywords/kse-100-index","display_name":"KSE-100 index","score":0.9919999837875366},{"id":"https://openalex.org/keywords/volatility-modeling","display_name":"volatility modeling","score":0.7760000228881836},{"id":"https://openalex.org/keywords/garch-models","display_name":"GARCH models","score":0.7540000081062317},{"id":"https://openalex.org/keywords/exponential-garch","display_name":"exponential GARCH","score":0.7020000219345093},{"id":"https://openalex.org/keywords/threshold-garch","display_name":"threshold GARCH","score":0.878000020980835},{"id":"https://openalex.org/keywords/volatility-clustering","display_name":"volatility clustering","score":0.5820000171661377},{"id":"https://openalex.org/keywords/volatility-persistence","display_name":"volatility persistence","score":0.7570000290870667},{"id":"https://openalex.org/keywords/leverage-effect","display_name":"leverage effect","score":0.8610000014305115},{"id":"https://openalex.org/keywords/2008-financial-crisis","display_name":"2008 financial crisis","score":0.718999981880188},{"id":"https://openalex.org/keywords/risk-premium","display_name":"risk premium","score":0.4909999966621399},{"id":"https://openalex.org/keywords/pakistan-stock-market","display_name":"Pakistan stock market","score":0.7160000205039978},{"id":"https://openalex.org/keywords/model-selection-criteria","display_name":"model selection criteria","score":0.46399998664855957},{"id":"https://openalex.org/keywords/bayesian-information-criterion","display_name":"Bayesian information criterion","score":0.8889999985694885},{"id":"https://openalex.org/keywords/log-likelihood","display_name":"log-likelihood","score":0.7269999980926514},{"id":"https://openalex.org/keywords/mean-reversion","display_name":"mean reversion","score":0.6639999747276306},{"id":"https://openalex.org/keywords/non-normality","display_name":"non-normality","score":0.3869999945163727}],"concepts":[{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.8649409413337708},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.7552761435508728},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6898174285888672},{"id":"https://openalex.org/C2776142675","wikidata":"https://www.wikidata.org/wiki/Q7939999","display_name":"Volatility clustering","level":4,"score":0.6397483348846436},{"id":"https://openalex.org/C89218465","wikidata":"https://www.wikidata.org/wiki/Q5449732","display_name":"Financial models with long-tailed distributions and volatility clustering","level":5,"score":0.5862681865692139},{"id":"https://openalex.org/C74746147","wikidata":"https://www.wikidata.org/wiki/Q5324652","display_name":"EWMA chart","level":4,"score":0.537543535232544},{"id":"https://openalex.org/C200870193","wikidata":"https://www.wikidata.org/wiki/Q11691","display_name":"Stock exchange","level":2,"score":0.500272274017334},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4922980070114136},{"id":"https://openalex.org/C101104100","wikidata":"https://www.wikidata.org/wiki/Q1063540","display_name":"Heteroscedasticity","level":2,"score":0.44337165355682373},{"id":"https://openalex.org/C117996083","wikidata":"https://www.wikidata.org/wiki/Q5473296","display_name":"Forward volatility","level":4,"score":0.4149192273616791},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3270820081233978},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.27544575929641724},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.1424400508403778},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.11793997883796692},{"id":"https://openalex.org/C98045186","wikidata":"https://www.wikidata.org/wiki/Q205663","display_name":"Process (computing)","level":2,"score":0.0},{"id":"https://openalex.org/C111919701","wikidata":"https://www.wikidata.org/wiki/Q9135","display_name":"Operating system","level":1,"score":0.0},{"id":"https://openalex.org/C196985124","wikidata":"https://www.wikidata.org/wiki/Q1369242","display_name":"Control chart","level":3,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1108/jabs-05-2015-0060","doi":"https://doi.org/10.1108/jabs-05-2015-0060","is_oa":false,"landing_page_url":"https://doi.org/10.1108/jabs-05-2015-0060","pdf_url":null,"source":{"id":"https://openalex.org/S202264103","display_name":"Journal of Asia Business Studies","issn_l":"1558-7894","issn":["1558-7894","1559-2243"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-c","anvur-scientific","cwts-core","jufo-1","norway-1","poland-40","russia-white-list-1"],"host_organization":"https://openalex.org/P4310319811","host_organization_name":"Emerald Publishing Limited","host_organization_lineage":["https://openalex.org/P4310319811"],"host_organization_lineage_names":["Emerald Publishing Limited"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Asia Business Studies","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":49,"referenced_works":["https://openalex.org/W18309763","https://openalex.org/W1567471629","https://openalex.org/W1570095368","https://openalex.org/W1576326745","https://openalex.org/W1606458208","https://openalex.org/W1882020132","https://openalex.org/W1894632198","https://openalex.org/W1938336687","https://openalex.org/W1967550611","https://openalex.org/W1979575715","https://openalex.org/W1982288993","https://openalex.org/W1985165919","https://openalex.org/W1999814123","https://openalex.org/W1999996900","https://openalex.org/W2000396071","https://openalex.org/W2003626215","https://openalex.org/W2005424182","https://openalex.org/W2013109882","https://openalex.org/W2044117118","https://openalex.org/W2054477007","https://openalex.org/W2061160212","https://openalex.org/W2064638174","https://openalex.org/W2070537217","https://openalex.org/W2076209196","https://openalex.org/W2077115352","https://openalex.org/W2086547836","https://openalex.org/W2090559796","https://openalex.org/W2090637028","https://openalex.org/W2116402578","https://openalex.org/W2117379629","https://openalex.org/W2130455805","https://openalex.org/W2133932309","https://openalex.org/W2170416504","https://openalex.org/W2184521823","https://openalex.org/W2187156275","https://openalex.org/W2188586393","https://openalex.org/W2220526172","https://openalex.org/W2423293082","https://openalex.org/W2519923421","https://openalex.org/W2994281693","https://openalex.org/W3005117407","https://openalex.org/W3023793967","https://openalex.org/W3121451334","https://openalex.org/W3121895495","https://openalex.org/W3123118666","https://openalex.org/W3124664545","https://openalex.org/W3125246470","https://openalex.org/W3151400401","https://openalex.org/W4285719527"],"related_works":["https://openalex.org/W3151400401","https://openalex.org/W1567471629","https://openalex.org/W2463599272","https://openalex.org/W3006478129","https://openalex.org/W2810183311","https://openalex.org/W2748440192","https://openalex.org/W2298953335","https://openalex.org/W2144926239","https://openalex.org/W4290739934","https://openalex.org/W115737860"],"abstract_inverted_index":{"Purpose":[0],"The":[1,46,178,220,267,375],"current":[2,376],"paper":[3,423],"aims":[4],"to":[5,34,50,93,99,211,226,247,319,366,380,419],"fill":[6],"a":[7,169,228,274,282,302,336,348,367,412],"gap":[8],"in":[9,63,147,201,216,234,285,295,350,360],"the":[10,14,19,27,51,56,64,78,82,85,101,109,196,202,207,213,217,235,241,249,257,286,296,309,313,321,329,333,341,355,400,417,420,426,432,436],"literature":[11,52,356],"by":[12,406],"analyzing":[13],"nature":[15],"of":[16,26,60,70,84,103,129,237,272,281,298,312,323,370,391,414,428,435],"volatility":[17,42,130,193,214,233,339,351,358,433],"on":[18,89,256],"Karachi":[20],"Stock":[21],"Exchange":[22],"(KSE)":[23],"100":[24,87,315],"index":[25,88],"KSE,":[28],"and":[29,75,117,167,184,192,262,278,340,384,396],"develop":[30],"an":[31,126,279,290],"understanding":[32],"as":[33,133],"which":[35],"model":[36,209,224,230,245],"is":[37,198,306],"most":[38,250],"suitable":[39],"for":[40,77,231,252,388],"measuring":[41],"among":[43],"those":[44,429],"used.":[45],"study":[47,123,268],"contributes":[48],"significantly":[49],"as,":[53],"compared":[54],"with":[55,289],"limited":[57,365],"previous":[58],"studies":[59],"Pakistan":[61],"undertaken":[62],"past,":[65],"it":[66],"covers":[67],"three":[68,389],"types":[69,390],"data":[71,110,254,392],"(i.e.":[72],"daily,":[73,182],"weekly":[74,183,253,299,395],"monthly)":[76],"whole":[79],"period":[80],"from":[81,416],"introduction":[83],"KSE":[86,287,314],"November":[90],"2,":[91],"1991":[92],"December":[94],"31,":[95],"2013.":[96],"In":[97,317,398],"addition,":[98,318,399],"analyze":[100,320],"impact":[102,322,427],"global":[104,324,342],"financial":[105,325],"crises":[106,326],"upon":[107,327,431],"volatility,":[108,273,328],"have":[111],"been":[112,364,404],"divided":[113],"into":[114],"pre-crisis":[115],"(1991-2007)":[116],"post-crisis":[118],"(2008-2013)":[119],"periods.":[120],"Design/methodology/approach":[121],"This":[122,422],"has":[124,363,378,403,424],"used":[125,385],"advanced":[127],"set":[128],"models":[131,369,387],"such":[132],"autoregressive":[134,140],"conditional":[135,141],"heteroskedasticity":[136,142,197],"[ARCH":[137],"(1)],":[138],"generalized":[139],"[GARCH":[143],"(1,":[144,150,155,160,165,222,243],"1)],":[145,151,156,161],"GARCH":[146,153,158,163,242],"mean":[148,275],"[GARCH-M":[149],"exponential":[152],"[E-GARCH":[154],"threshold":[157],"[T-GARCH":[159],"power":[162],"[P-GARCH":[164],"1)]":[166],"also":[168],"simple":[170],"exponentially":[171],"weighted":[172],"moving":[173],"average":[174],"(EWMA)":[175],"model.":[176],"Findings":[177],"results":[179],"reveal":[180],"that":[181,332],"monthly":[185,203,218],"return":[186],"series":[187,311,393],"show":[188,331],"non-normal":[189],"distribution,":[190],"stationarity":[191],"clustering.":[194],"However,":[195,301],"absent":[199],"only":[200,206,294],"returns":[204],"making":[205],"EWMA":[208],"usable":[210],"measure":[212],"level":[215],"series.":[219],"P-GARCH":[221],"1)":[223,244],"proved":[225,246],"be":[227,248],"better":[229],"modeling":[232,359],"case":[236,297],"daily":[238,310],"returns,":[239],"while":[240],"appropriate":[251],"based":[255],"Schwarz":[258],"information":[259],"criterion":[260],"(SIC)":[261],"log":[263],"likelihood":[264],"(LL)":[265],"functionality.":[266],"shows":[269],"high":[270],"persistence":[271],"reverting":[276],"process":[277],"absence":[280],"risk":[283],"premium":[284],"market":[288],"insignificant":[291],"leverage":[292,304],"effect":[293,305],"returns.":[300],"significant":[303],"reported":[307],"regarding":[308],"index.":[316],"findings":[330],"subperiods":[334],"demonstrated":[335],"slightly":[337],"low":[338],"economic":[343],"crisis":[344],"did":[345],"not":[346],"cause":[347],"rise":[349],"levels.":[352],"Originality/value":[353],"Previously,":[354],"about":[357],"Pakistan\u2019s":[361],"markets":[362],"few":[368],"relatively":[371],"small":[372],"sample":[373],"size.":[374],"thesis":[377],"attempted":[379],"overcome":[381],"these":[382],"limitations":[383],"diverse":[386],"(daily,":[394],"monthly).":[397],"Pakistani":[401],"economy":[402],"beset":[405],"turmoil":[407],"throughout":[408],"its":[409],"history,":[410],"experiencing":[411],"range":[413],"shocks":[415,430],"mild":[418],"extreme.":[421],"measured":[425],"levels":[434],"KSE.":[437]},"counts_by_year":[{"year":2026,"cited_by_count":3},{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":3},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":5},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":2},{"year":2017,"cited_by_count":3},{"year":2016,"cited_by_count":2},{"year":2014,"cited_by_count":1}],"updated_date":"2026-10-14T16:39:01.820549","created_date":"2016-08-23T00:00:00"}