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  ACKNOWLEDGEMENTS All praises are to Almighty “ALLAH”, the most merciful and the most beneficent, who bestowed upon me the wealth of Islam, by birth and to give me theopportunity to complete my research successfully. Countless salutation be upon theHoly rophet ! #H$, the most perfect and torch of guidance and %nowledge for humanity as a whole.I e&press my deepest sense of gratitude for my honorable, supervisor 'r.(ohar )aeed, for his %ind, generous and intelligent guidance and supervision.*ithout his interest, this study would not have been possible in this fine shape.I am than%ful to +r. )afiullah and +r. Ifti%har #d 'in for their valuablesuggestions, constant encouragement, guidance, constructive criticism, sympatheticattitude, over inspiring efforts and guidance in the completion of this research wor%.I would feel it incomplete without saying than%s to my loving parents andother family members who supported and encouraged me throughout my academiccareer.Lastly, I admit that I cant ac%nowledge all of my good wishers accordinglyand in fact we have s%ipped many of those but they are in the core of my heart andonly (od can return those with a better reward. EHTESHAM ii  VOLATILITY BEHAVIOR OF STOCK MARKET A CASE STUDY OF KARACHI STOCK EXCHANGE -htesham and 'r. (ohar )aeedInstitute of usiness and +anagement )ciences  Computer )ciences /*0 Agricultural #niversity eshawar  ABSTRACT 1he study was conducted to evaluate the volatility behavior of 2arachi )toc% -&change !2)-$. 1he analysis was based on daily closing value of 2)-3455 inde&and monthly data on general stoc% price inde& of different sectors of 2)-. 1heAutoregressive Conditional Heteroscedasticity !A6CH$ family models were used tomeasure the volatile behavior of 2)-. 2)- e&hibit the volatile behavior on dailyiii   basis. 1he presence of autoregressive !A6$ trends as shown by results imply that in7 of 48 cases, there e&ists a strong autoregressive process of order !A6$ 4 process.1he +oving Average !+A$ or temporary disturbance terms are also present in 9 of 48 cases. *ith +A !4$ process a shoc% occurring in one period will have an effecton the rate of returns in the ne&t consecutive period but this effect is eliminated fromthe system with in one period. 1he results indicated that the AutoregressiveConditional Heteroscedasticity in +ean !A6CH3+$ coefficient is positive andstatistically significant in : cases and is statistically significant with negativecoefficients in ; cases. 1he monthly sectoral indices returns include a premium for ta%ing ris%. 1he evidence is consistent with a positive ris% premium on stoc% indices,higher ris% result in higher returns. 1he results indicated that all the estimatedcoefficients of 1hreshold Autoregressive Conditional Heteroscedasticity !13A6CH$ process e&cept three cases are found to be negative, meaning that negative shoc%shave relatively smaller effects on volatility as compared to positive shoc%s. iiii
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