Modeling Volatility of Gold-Futures’ Returns using GARCH-Family Models: Empirical Evidence from Pakistan

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.