International Incidences, Macroeconomic Variables and their Volatility Effect on Economic Growth: Empirical Evidence from Pakistan

Abstract

This study incorporates the volatility connection among them. In order to capture the volatility connection and influence of variables on GDP we employed ARCH/GARCH model. Results suggested that IMF and FDI and GDP are negative related whereas capital formation, exports, market capitalization global financial crisis,  9/11, and Iraq war having significantly positive relation to GDP. GARCH reported that there is persistence of volatility past to future exists in Gold significantly but insignificant in other variables. Moreover, exchange rate and inflation having positive but insignificant volatility, but FDI, Gold prices significant variance. Iraq war is having negative but significant volatility and global crisis is having negative volatility.