Modeling Volatility of Gold-Futures’ Returns using GARCH-Family Models: Empirical Evidence from Pakistan Shaikh Ehsan Ahmed*, Rizvi Syed Muhammad Ahsan**, Dr. Bashir Rizwana**, Salam Maawra*** *Assistant Professor, Govt. Degree Boys College, Karachi **Assistant Professor, Bahria University, Karachi Campus, Karachi ***Research Assistant, Bahria University, Karachi Campus, Karachi Online published on 15 April, 2014. Abstract This study aims at finding the most appropriate model for investigating volatility of gold-futures’ returns using various GARCH family models for Pakistan. Estimating ARMA (1,1)-GARCH(1,1), GJR-GARCH and GARCH-M models, this study finds that GJR-GARCH and GARCH-M are not appropriate models to describe volatility of gold-futures’ returns. Whereas, ARMA (1, 1)-GARCH (1, 1) proves to be the most suitable model. Top Keywords GARCH, Volatility, Gold Futures, Pakistan, Asymmetry. Top |