Estimation and Forecast of the Models for Stock Market Performance of the Oil & Gas Companies in Pakistan

Abstract

Stock market plays a very influential role for the economy of any
country. Energy sector is considered as one of the dominating sectors
in the stock market. This sector is evidently affected by oil and gas
prices and performance of this sector is evaluated by stock returns of
the oil & gas companies. Therefore, the study of such stock returns
always remains an objective of interest for many financial researchers.
In this article, we seek for some suitable mean and volatility models in
order to characterize and forecast the stock market performance of
those oil & gas exploration and distribution companies in Pakistan
which are on the list of Karachi Stock Exchange. Weekly stock price
data of 250 observations for 9 oil & gas companies have been
obtained. Some appropriate ARIMA and GARCH models have been
selected after using standard available criteria. Furthermore, the fitted
models have also been evaluated for their forecast performance.