Browsing by Author "Naeem, Muhammad Abu Bakar"

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    Volatility Modeling for Spot and Futures of Crude Oil–Evidence from Pakistan.
    (Abasyn University Journal of Social Sciences., 2015) Rafay, Abdul; Javed Gilani, Usman; Naeem, Muhammad Abu Bakar; Ijaz, Maham
    In this article, we study the volatility of Spots and Futures of Crude Oil using daily data from the period 2010-2013. We examine both the Crude Oil Spots and Crude Oil Futures traded on the Pakistan Mercantile Exchange. Our main findings suggest that (1) shocks tend to persist over a long period of time for both Crude Oil Spots and Crude Oil Futures; and (2) shocks have asymmetric effect on the volatility. Hence our findings indicate that behavior of Crude Oil Spots prices and Crude Oil Future prices tends to vary over time.