Abstract
This study compares the volatility behavior and variance structure of daily, weekly and monthly returns of the KSE-100 index. The study uses seventeen years data covering the period from 1991 to 2008. By employing ARCH (1) model, the study finds significant asymmetric shocks to volatility in the three series but the intensity of the shocks are not equal for all the series. The study finds that the statistical properties are also substantially different from one another. The stylized fact of volatility clustering is found in the market but is sensitive to the frequencies of data.
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References
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