Application of Stochastic Volatility Model to KSE-100

Syed Monis Jawed

Abstract


The paper examines the implementation of stochastic volatility (SV)
model to the data of Karachi Stock Exchange 100 index during the
period of January 2007 to December 2011. The Stochastic Volatility
model is compared with the GARCH (1,1) model for forecasting
volatility. The stochastic volatility model is basically a parametric
approach to observe volatility that includes two noise terms, tends to
capture volatility better than GARCH (1,1) model. Thus this exercise
demonstrates the capability of stochastic volatility model to forecast
volatility more efficiently for emerging markets such as KSE


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References


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Chief Editor

Prof. Dr. Ejaz Ahmed 
Dean
College of Computer Science & Information Systems

Editor

Prof Dr. S. M. Aqil Burney

Associate Editors

Prof. Dr. Tariq Rahim Soomro
Dr. Muhammad Mansoor Aalam

Publication Coordinator
Konpal Darakshan

Editorial Advisory Board (Internal)

Dr. Syed Irfan Hyder
Dr. Mohammad Irshad Khan
Dr. Shahid Amjad
Dr. Abdul Rauf Farooqui
Dr. Syed Iftikhar Ali
Dr. Tajuddin Islamuddin
Dr. Muhammad Danish Khan
Dr. Imran Majid
Dr. Fatima Riaz
Dr. Adeel Ansari
Dr. Zeeshan Shahid
Ms. Seema Ansari

Editorial Advisory Board (International)

Prof. Dr. Mazliham Mohd Su'ud, President, Universiti Kuala Lumpur, Malaysia
Prof. Dr. Ghassan Al-Qaimari, President, Emirates College of Technology, Abu Dhabi, UAE
Prof. Dr. Patrice Boursier, Universite de La Rochelle, La Rochelle, France
Prof. Dr. Mudassir Uddin, Professor, University of Karachi, Pakistan
Dr. Nadeem Doudpota, Associate Professor, Al-Baha University, KSA
Dr. Haithem Abdelrazaq Almefleh, Associate Professor, Yarmouk University, Yarmouk, Jordan
Dr. S. Asim Ali, Assistant Professor, University of Karachi, Pakistan

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Dr. Asadaullah Shah, Professor, International Islamic University, MalaysiaDr. Hasan Wahba, President American College of Dubai, United Arab Emirates (UAE)
Dr. Tahseen Jilani, Assistant Professor, University of Manchester, UKDr. Atif Memon, Associate Professor, The University of Maryland, USA
Dr. Syed Waliullah Shah, University Sains, MalaysiaDr. Inayatullah Shah, International Islamic University, (Kuantam), Malaysia
Dr. Salahttin Kuru, Kemeburgaz University, TurkeyDr. Soon Min, INTI International University, Malaysia
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Dr. Sajjad Waheed, Professor, Department of Information and Communication Technology, Mawlana Bhashani Science and Technology University, Tangail 1902, Bangladesh

Dr. Kushairy Bin Abdul Kadir, Associate Professor, British Malaysian Institute, Universiti Kuala Lumpur, Gombak, Malaysia
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Dr. Mohammad Arif Amin, Assistant Professor, Higher College of Technology, Abu Dhabi Men’s College, Abu Dhabi, United Arab Emirates (UAE)Dr. Ismat Aldmour, Assistant Professor, Al-Baha University, Kingdom of Saudi Arabia (KSA)
Dr. AbdulRahman Ahmed Mohammed Al-Sewari, Senior Lecturer, Universiti Malaysia Pahang, Pahang, MalaysiaDr. Mohammed A. Afifi, Director, Associate of Science in Computer Science, Al Dar University College, Dubai, United Arab Emirates (UAE)
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Dr. Abdul Basit Samsuddin Banga, Assistant Professor, Saudi Electronic University, Jeddah male Campus, Kingdom of S. Arabia (KSA)Dr. Mohamad Ismail Sulaiman, Senior Lecturer, British Malaysian Institute, Universiti Kuala Lumpur, Gombak, Malaysia
Dr. Syed Faiz Ahmed, Senior Lecturer, British Malaysian Institute, Universiti Kuala Lumpur, Gombak, Malaysia

Dr. Jawad Ali Shah, Senior Lecturer, British Malaysian Institute, Universiti Kuala Lumpur, Gombak, Malaysia

Dr. Sarfraz Nawaz Brohi, Lecturer, Taylor’s Unversity, Lakeside Campus, Malaysia

Dr. Fahad Sikander, Assistant Professor, Saudi Electronic University, Kingdom of Saudi Arabia (KSA)


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Dr. Faisal Maqbool Zahid, Associate Professor, University of Faisalabad 

Member Editorial Review Board (National – Non Academia)

Dr. Amir Khan, Ministry of Defense, Govt. of Pakistan, KarachiDr. Bahrawar Jan, Pakistan Bureau of Statistics, Islamabad