DINAMIKA VOLATILNOSTI U NOVIJIM GOSPODARSTVIMA: SLUČAJ BURZE U KARACHIJU

The paper aims to model and forecast the volatility in the stocks traded at the Karachi Stock Exchange before and during the recent financial crisis using the GARCH, EGARCH and GJR-GARCH models. We find the stock return volatility to be characterized by clustering and displaying asymmetries. Results point to the capability of the EGARCH(1,1) model at forecasting for both periods lending support to the use of GARCH family of models for emerging markets during crisis. We find evidence for a synthetically constructed index based on trading volume capturing the volatility structure of the market as well as that based on market capitalization which has important implications for investors.Rad ima za cilj stvoriti model i predvidjeti volatilnost dionica kojima se trgovalo na burzi u Karachiju prije i za vrijeme nedavne financijske krize koristeći GARCH, EGARCH i GJR-GARCH modele. Zaključujemo da je volatilnost zarade na burzi obilježena klasteringom te pokazuje asimetrije. Rezultati ukazuju na sposobnost EGARCH(1,1) modela da predviđa za oba perioda potvrđujući korisnost GARCH grupe modela za tržišta u nastajanju u vrijeme krize. Ima dokaza sintetički stvorenog indeksa na bazi volumena trgovine koji hvata volatilnost strukture tržišta, kao i onog baziranog na tržišnoj kapitalizaciji što ima važne implikacije za investitore