ResearchBib Share Your Research, Maximize Your Social Impacts
Sign for Notice Everyday Sign up >> Login

Inflation Volatility using Garch-Family Models; Empirical Evidence from Pakistan

Journal: Journal of Contemporary Issues in Business Research (Vol.3, No. 3)

Publication Date:

Authors : ; ; ;

Page : 168-173

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

Source : Downloadexternal Find it from : Google Scholarexternal


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.

Last modified: 2015-01-16 06:22:18