Abstract
This study investigates the volatility of short term interest rate (6 month T-bills) using GARCH and E-GARCH models while taking the case of Pakistani financial market. Monthly data of T-bills covering the period January 2005 to December 2012 is used for measuring the volatility of short term interest rate. The sample used GARCH and E-GARCH models for analysis. The empirical results from both the models show that the GARCH model can better predict the volatility behaviour of short term interest rate as compared to E-GARCH model in Pakistani market. Analysis of data shows that short term interest rates show volatility clustering effect and that is shown in the GARCH and E-GARCH model.
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Li, S., Tahir, M.A., Ain, Q.U., Yousaf, T. (2020). Modelling Short Term Interest Rate Volatility with Time Series Model A Case of Pakistani Financial Markets. In: Xu, J., Ahmed, S., Cooke, F., Duca, G. (eds) Proceedings of the Thirteenth International Conference on Management Science and Engineering Management. ICMSEM 2019. Advances in Intelligent Systems and Computing, vol 1001. Springer, Cham. https://doi.org/10.1007/978-3-030-21248-3_36
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