FORECASTING CRYPTOCURRENCY SPILL-OVERS TO KSE-100: A WAVELET-BASED GARCH-MIDAS FRAMEWORK

Abstract

This article analyzes how virtual currency can affect the stock exchange in Pakistan, specifically using its population to understand how much to be expected. With the deal between digital and traditional markets getting closer, it's very important for the people who are in charge and the people who are involved in business to know how the prices of crypto currencies go up or go down, and how that affects the stock market. Studies have shown that the effects of those events can be different based on the way they are studied. This study is designed to improve our understanding of how businesses interact with people, in new markets. uses cryptocurrency and stock market rates to see the short- and long-term effects of on cryptocurrency and real estate. The results from the spill-overs prove that there is a significant effect on the stock market from Bitcoin, suggesting risk pricing and portfolio diversification, including increasing or decreasing value. The results suggest it may be required to add volatility of crypto in to financial prediction for emerging countries. This study details the connections between cryptocurrency markets and provides a new way of forecasting those markets.

Keywords: Cryptocurrency Spillovers, KSE-100, Wavelet, GARCH-MIDAS, Financial Market, Pakistan, Volatility