GARCH

SYSTEMATIC RISK FACTORS AND STOCK RETURN VOLATILITY

by Syed Kamran Ali Haider – Shujahat Haider Hashmi – Ishtiaq Ahmed This study analyzes the transmission of systematic risk exhaling from macroeconomic fundamentals to volatility of stock market by using auto regressive generalized auto regressive conditional heteroskedastic (AR-GARCH) and vector auto regressive (VAR) models. Systematic risk factors used in this…