Journal of Contemporary Issues in Business Research

ISSN 2305-8277
Inflation Volatility using GARCH-Family Models; Empirical Evidence from Pakistan
Inflation Volatility using GARCH-Family Models; Empirical Evidence from Pakistan
Ehsan Ahmed Shaikh, 1 Rizwana Bashir, 2 and Maawra Salam 3
Author Affiliations
  • 1 Govt. Degree Boys College
  • 2&3 University Karachi Campus

  • Abstract

    In this study we are in the quest for most appropriate GARCH-family model for modeling the differenced log Consumer Price Index (CPI) CPI i.e. percentage change in CPI for Pakistan. Using various specifications for mean equation, study estimated GARCH (1,1) and GJR-GARCH (1,1). The study also estimates EGARCH (1,1) for monthly data of CPI. The estimation results reveal that ARMA (1,1)- GARCH (1,1) comes out to be most appropriate specification for modeling inflation volatility. The study finds no evidence of asymmetry in the response of inflation volatility to negative and positive shocks.

    Keywords
    Inflation; volatility; GARCH; Leverage effect; Pakistan.

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    MLA
    Shaikh, Ehsan Ahmed, Rizwana Bashir and Maawra Salam. "Inflation Volatility using Garch-Family Models; Empirical Evidence from Pakistan." Journal of Contemporary Issues in Business Research 3.3 (2014): 168-173.
    APA
    Shaikh, Ehsan Ahmed, Rizwana Bashir, and Maawra Salam. "Inflation Volatility using Garch-Family Models; Empirical Evidence from Pakistan." Journal of Contemporary Issues in Business Research 3, no. 3 (2014): 168-173.
    Chicago
    Shaikh, E. A., Bashir, R., & Salam, M. (2014). Inflation Volatility using Garch-Family Models; Empirical Evidence from Pakistan. Journal of Contemporary Issues in Business Research , 3 (3), 168-173.
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    First published online before print: 2014
    Vol. 3, No. 3, 2014, pp. 168-173
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