Rabia Qammar; Rana Zain-Ul-Abidin
Volume 6, Issue 1 , January 2019, , Pages 80-87
Abstract
Price volatility presents the investor possibilities and opportunities to buy securities at cheap prices and then sell it when they are overpriced, resulting in a profit at the end of the day. Recently, the volatility has become more valuable aspect for investors. Investment risk and return is important ...
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Price volatility presents the investor possibilities and opportunities to buy securities at cheap prices and then sell it when they are overpriced, resulting in a profit at the end of the day. Recently, the volatility has become more valuable aspect for investors. Investment risk and return is important for investors. Investors have risk averse nature, they concerned about the information flow of stock price volatility. This study aims to review the literature on stock price volatility significance and its measurements by different methods. This study provides the detail review of stock price volatility different types including historical, implied, intraday, and indices volatility. This study discusses various measurements of stock price volatility forecasting with the empirical findings. Efficient market hypothesis supports the changes in stock prices in prior literature. Some studies shows that volatility can be measured by standard deviation of investor’s stock return. The price volatility mostly determined by high, low and closing prices. It is found that forecasting volatility can be measured by different methods. The literature review suggests that GARCH and Parkinson formula is considered most reliable method to measure volatility. Parkinson is more reliable measurement because it has daily high and low stock prices.
Muhammad Shoaib; Bashir Ahmad Khilji; Zahoor Khan; Muhammad Shafiq
Volume 3, Issue 12 , December 2016, , Pages 779-796
Abstract
This study has been conducted to find out the effect of exchange rate uncertainty on the export volume of Pakistan to its major trading partner countries. Volatility in the nominal exchange rate of Pakistan has been estimated through Generalized Autoregressive Conditional Hetroscedastic (GARCH) process. ...
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This study has been conducted to find out the effect of exchange rate uncertainty on the export volume of Pakistan to its major trading partner countries. Volatility in the nominal exchange rate of Pakistan has been estimated through Generalized Autoregressive Conditional Hetroscedastic (GARCH) process. The findings showed that exchange rate uncertainty has negative significant impact on the volume of exports of Pakistan with all considered trading partner countries. In case of Hong Kong, Kuwait and Malaysia relative prices have negative significant effect on the volume of exports, while for the rest, trading partner countries the relationship is found positive and significant. It is further documented that political instability has significant negative impact on the volume of exports in almost all the trading partner countries. Exchange rate volatility curtails the volume of exports, so appropriate policies are required to be adopted, which will stabilize the exchange rate.
