{"id":"https://openalex.org/W4224301613","doi":"https://doi.org/10.1016/j.iref.2022.04.003","title":"Forecasting Pakistan stock market volatility: Evidence from economic variables and the uncertainty index","display_name":"Forecasting Pakistan stock market volatility: Evidence from economic variables and the uncertainty index","publication_year":2022,"publication_date":"2022-04-20","ids":{"openalex":"https://openalex.org/W4224301613","doi":"https://doi.org/10.1016/j.iref.2022.04.003"},"language":"en","primary_location":{"id":"doi:10.1016/j.iref.2022.04.003","doi":"https://doi.org/10.1016/j.iref.2022.04.003","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.iref.2022.04.003","pdf_url":null,"source":{"id":"https://openalex.org/S168273071","display_name":"International Review of Economics & Finance","issn_l":"1059-0560","issn":["1059-0560","1873-8036"],"is_oa":false,"is_in_doaj":true,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","doaj","erih-plus","fnege-3","jufo-1","norway-1","poland-70","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Review of Economics & Finance","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref","doaj"],"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/A5030666260","display_name":"Maria Ghani","orcid":"https://orcid.org/0000-0002-8287-2501","observed_orcids":["https://orcid.org/0000-0002-8287-2501"]},"institutions":[{"id":"https://openalex.org/I4800084","display_name":"Southwest Jiaotong University","ror":"https://ror.org/00hn7w693","country_code":"CN","type":"education","lineage":["https://openalex.org/I4800084"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Maria Ghani","raw_affiliation_strings":["School of Economics and Management, Southwest Jiaotong University, Chengdu, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Economics and Management, Southwest Jiaotong University, Chengdu, China","institution_ids":["https://openalex.org/I4800084"]}]},{"author_position":"middle","author":{"id":null,"display_name":"Qiang Guo","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I4800084","display_name":"Southwest Jiaotong University","ror":"https://ror.org/00hn7w693","country_code":"CN","type":"education","lineage":["https://openalex.org/I4800084"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Qiang Guo","raw_affiliation_strings":["School of Economics and Management, Southwest Jiaotong University, Chengdu, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Economics and Management, Southwest Jiaotong University, Chengdu, China","institution_ids":["https://openalex.org/I4800084"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5089891264","display_name":"Feng Ma","orcid":"https://orcid.org/0000-0002-6539-0965","observed_orcids":["https://orcid.org/0000-0002-6539-0965","https://orcid.org/0000-0002-8958-6620"]},"institutions":[{"id":"https://openalex.org/I4800084","display_name":"Southwest Jiaotong University","ror":"https://ror.org/00hn7w693","country_code":"CN","type":"education","lineage":["https://openalex.org/I4800084"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Feng Ma","raw_affiliation_strings":["School of Economics and Management, Southwest Jiaotong University, Chengdu, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Economics and Management, Southwest Jiaotong University, Chengdu, China","institution_ids":["https://openalex.org/I4800084"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5101688452","display_name":"Tao Li","orcid":"https://orcid.org/0000-0002-3176-018X","observed_orcids":["https://orcid.org/0000-0002-3176-018X"]},"institutions":[{"id":"https://openalex.org/I16351329","display_name":"China West Normal University","ror":"https://ror.org/04s99y476","country_code":"CN","type":"education","lineage":["https://openalex.org/I16351329"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Tao Li","raw_affiliation_strings":["Business School, China West Normal University, Nanchong, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Business School, China West Normal University, Nanchong, China","institution_ids":["https://openalex.org/I16351329"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5089891264"],"corresponding_institution_ids":["https://openalex.org/I4800084"],"apc_list":{"value":2350,"currency":"USD","value_usd":2350},"apc_paid":null,"fwci":8.6493,"has_fulltext":false,"cited_by_count":53,"citation_normalized_percentile":{"value":0.97528563,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":93,"max":100},"biblio":{"volume":"80","issue":null,"first_page":"1180","last_page":"1189"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.8651999831199646,"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"}},"topics":[{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.8651999831199646,"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/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.13130000233650208,"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/T11326","display_name":"Stock Market Forecasting Methods","score":0.000699999975040555,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/stock-market-volatility-forecasting","display_name":"stock market volatility forecasting","score":0.9229999780654907},{"id":"https://openalex.org/keywords/economic-policy-uncertainty-index","display_name":"Economic Policy Uncertainty Index","score":0.9350000023841858},{"id":"https://openalex.org/keywords/macroeconomic-factors","display_name":"macroeconomic factors","score":0.8009999990463257},{"id":"https://openalex.org/keywords/oil-prices","display_name":"oil prices","score":0.8820000290870667},{"id":"https://openalex.org/keywords/pakistan-stock-market","display_name":"Pakistan stock market","score":0.9079999923706055},{"id":"https://openalex.org/keywords/garch-midas","display_name":"GARCH-MIDAS","score":0.8799999952316284},{"id":"https://openalex.org/keywords/out-of-sample-forecasting","display_name":"out-of-sample forecasting","score":0.7960000038146973},{"id":"https://openalex.org/keywords/exchange-rates","display_name":"exchange rates","score":0.7760000228881836},{"id":"https://openalex.org/keywords/interest-rates","display_name":"interest rates","score":0.6990000009536743},{"id":"https://openalex.org/keywords/money-supply","display_name":"money supply","score":0.9340000152587891},{"id":"https://openalex.org/keywords/foreign-direct-investment","display_name":"foreign direct investment","score":0.9850000143051147},{"id":"https://openalex.org/keywords/gold-prices","display_name":"gold prices","score":0.8019999861717224},{"id":"https://openalex.org/keywords/remittances","display_name":"remittances","score":0.9409999847412109},{"id":"https://openalex.org/keywords/inflation","display_name":"inflation","score":0.5669999718666077},{"id":"https://openalex.org/keywords/forecast-combination","display_name":"forecast combination","score":0.36800000071525574}],"concepts":[{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.7861785888671875},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.7483587861061096},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6189491152763367},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.5315926671028137},{"id":"https://openalex.org/C192620184","wikidata":"https://www.wikidata.org/wiki/Q7940002","display_name":"Volatility swap","level":4,"score":0.5281731486320496},{"id":"https://openalex.org/C88389905","wikidata":"https://www.wikidata.org/wiki/Q223371","display_name":"Stock market index","level":4,"score":0.4943220615386963},{"id":"https://openalex.org/C117996083","wikidata":"https://www.wikidata.org/wiki/Q5473296","display_name":"Forward volatility","level":4,"score":0.4764688014984131},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.4727676212787628},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.4507555365562439},{"id":"https://openalex.org/C175025494","wikidata":"https://www.wikidata.org/wiki/Q179179","display_name":"Interest rate","level":2,"score":0.43004870414733887},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.4249178469181061},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.31867852807044983},{"id":"https://openalex.org/C2780762169","wikidata":"https://www.wikidata.org/wiki/Q5905368","display_name":"Horse","level":2,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1016/j.iref.2022.04.003","doi":"https://doi.org/10.1016/j.iref.2022.04.003","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.iref.2022.04.003","pdf_url":null,"source":{"id":"https://openalex.org/S168273071","display_name":"International Review of Economics & Finance","issn_l":"1059-0560","issn":["1059-0560","1873-8036"],"is_oa":false,"is_in_doaj":true,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","doaj","erih-plus","fnege-3","jufo-1","norway-1","poland-70","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Review of Economics & Finance","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:eee:reveco:v:80:y:2022:i:c:p:1180-1189","doi":null,"is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S1059056022001241","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[{"id":"https://openalex.org/G7156593593","display_name":"\u4e2d\u56fd\u539f\u6cb9\u671f\u8d27\u5e02\u573a\u6ce2\u52a8\u7387\u5efa\u6a21\u3001\u9884\u6d4b\u53ca\u5176\u5e94\u7528\u7814\u7a76\uff1a\u57fa\u4e8e\u65f6\u53d8\u673a\u5236\u8f6c\u6362\u548c\u52a8\u6001\u7a00\u758f\u6743\u91cd\u7ec4\u5408\u65b9\u6cd5","funder_award_id":"72071162","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G8267228385","display_name":null,"funder_award_id":"71971191","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"}],"funders":[{"id":"https://openalex.org/F4320321001","display_name":"National Natural Science Foundation of China","ror":"https://ror.org/01h0zpd94"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":53,"referenced_works":["https://openalex.org/W1241192787","https://openalex.org/W1885395648","https://openalex.org/W1969748365","https://openalex.org/W2000303290","https://openalex.org/W2002278788","https://openalex.org/W2008644931","https://openalex.org/W2029585103","https://openalex.org/W2037836740","https://openalex.org/W2062012172","https://openalex.org/W2064651043","https://openalex.org/W2098560883","https://openalex.org/W2124203636","https://openalex.org/W2134247845","https://openalex.org/W2288571926","https://openalex.org/W2395074111","https://openalex.org/W2518839893","https://openalex.org/W2606715761","https://openalex.org/W2614191429","https://openalex.org/W2625557886","https://openalex.org/W2728984718","https://openalex.org/W2748431603","https://openalex.org/W2765360443","https://openalex.org/W2779793536","https://openalex.org/W2792338922","https://openalex.org/W2820935738","https://openalex.org/W2890181007","https://openalex.org/W2890306374","https://openalex.org/W2897715024","https://openalex.org/W2909498179","https://openalex.org/W2924969218","https://openalex.org/W2955738726","https://openalex.org/W2973377878","https://openalex.org/W2988092279","https://openalex.org/W2991727127","https://openalex.org/W2992228957","https://openalex.org/W3012617068","https://openalex.org/W3016693239","https://openalex.org/W3022041122","https://openalex.org/W3023565200","https://openalex.org/W3028236805","https://openalex.org/W3029533510","https://openalex.org/W3046948730","https://openalex.org/W3053873453","https://openalex.org/W3084432689","https://openalex.org/W3122070388","https://openalex.org/W3123625461","https://openalex.org/W3124791446","https://openalex.org/W3125307709","https://openalex.org/W3125578878","https://openalex.org/W3126027153","https://openalex.org/W3158311401","https://openalex.org/W3198400726","https://openalex.org/W4248735792"],"related_works":["https://openalex.org/W4377943627","https://openalex.org/W4293087255","https://openalex.org/W1241192787","https://openalex.org/W3126609003","https://openalex.org/W4390915278","https://openalex.org/W3174008538","https://openalex.org/W7221134414","https://openalex.org/W4413005017","https://openalex.org/W2924701191","https://openalex.org/W4378674250"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":10},{"year":2025,"cited_by_count":21},{"year":2024,"cited_by_count":9},{"year":2023,"cited_by_count":11},{"year":2022,"cited_by_count":2}],"updated_date":"2026-10-16T09:59:22.235173","created_date":"2022-04-26T00:00:00"}