Fahim Afzal
Biographic Data
| ID | 3915426 |
|---|---|
| NAME | Fahim Afzal |
| GIVEN NAMES | Fahim |
| FAMILY NAME | Afzal |
| SIGNATURE | AFZAL F |
| AFFILIATIONS | University of Engineering and Technology Lahore |
| ORCID | 0000-0001-6292-8531 |
| VERIFIED | Yes |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| AUTHOR COUNT | 1 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 2021 |
| LATEST PUBLICATION YEAR | 2021 |
| H-INDEX | 0 |
Value-at-Risk Analysis for Measuring Stochastic Volatility of Stock Returns
To assess the time-varying dynamics in value-at-risk (VaR) estimation, this study has employed an integrated approach of dynamic conditional correlation (DCC) and generalized autoregressive conditional heteroscedasticity (GARCH) models on daily stock return of the emerging markets. A daily log-returns of three leading indices such as KSE100, KSE30, and KSE-ALL from Pakistan Stock Exchange and SSE180, SSE50 and SSE-Composite from Shanghai Stock Ex…
No prominent works on this page.
Value-at-Risk Analysis for Measuring Stochastic Volatility of Stock Returns
To assess the time-varying dynamics in value-at-risk (VaR) estimation, this study has employed an integrated approach of dynamic conditional correlation (DCC) and generalized autoregressive conditional heteroscedasticity (GARCH) models on daily stock return of the emerging markets. A daily log-returns of three leading indices such as KSE100, KSE30, and KSE-ALL from Pakistan Stock Exchange and SSE180, SSE50 and SSE-Composite from Shanghai Stock Ex…
Autoregressive conditional heteroskedasticity (1 works) · Autoregressive model (1 works) · Bivariate analysis (1 works) · Complex Systems and Time Series Analysis (1 works) · Econometrics (1 works) · Economics (1 works) · Engineering (1 works) · Finance (1 works) · Financial economics (1 works) · Financial Risk and Volatility Modeling (1 works)