Information-Theoretic Measures and Modeling Stock Market Volatility: A Comparative Approach

The volatility analysis of stock returns data is paramount in financial studies. We investigate the dynamics and randomness Pakistan Stock Exchange (PSX-100) obtain insights into behavior investors during before coronavirus disease (COVID-19 pandemic). paper aims to present estimations quantification PSX-100. methodology includes two approaches: (i) implementation EGARCH, GJR-GARCH, TGARCH models estimate volatilities; (ii) volatilities series, return PSX-100 closing prices for pre-pandemic pandemic period by using Shannon’s, Tsallis, approximate sample entropies. Volatility modeling suggests existence leverage effect both underlying periods study. results obtained GARCH reveal that market has increased period. However, information-theoretic based on Shannon Tsallis entropies do not suggest notable variation estimated series prices. have examined regularity entropy entropy. noticed are extremely sensitive choices parameters.