Bibliographic record
Abstract
This research study examines the stochastic behaviour of stock returns in the Pakistan stock exchange (PSX) using the KSE 100 index daily return data from 2011 to 2016. Methodology is based on ARCH family of models such as ARCH, GARCH, GARCH-M EGARCH, EGARCH-M and TARCH/GJR GARCH. These specifications have been used to model the stochastic behaviour of stock return in the Pakistan stock exchange. The most appropriate model is selected on the basis of SIC and AIC selection criteria. Diagnostic checking includes ARCH-LM test and Ljung-Box Q-Statistics. This research study concludes that EGARCH (1, 1) specification explains the stochastic behaviour of the Pakistan stock exchange better than other models undertaken. The results of the study have well-grounded policy implications for market regulators, policy makers and investors.
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How this classification was reachedexpand
Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.002 | 0.000 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.000 | 0.000 |
| Science and technology studies | 0.001 | 0.000 |
| Scholarly communication | 0.000 | 0.000 |
| Open science | 0.001 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.000 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one teacher head, not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".