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Volatility modelling of Malaysia Islamic and conventional stock prices by using GARCH and EGARCH model.
- Source :
-
AIP Conference Proceedings . 2024, Vol. 2895 Issue 1, p1-7. 7p. - Publication Year :
- 2024
-
Abstract
- This research investigates the symmetric generalize autoregressive conditional heteroscedasticity (GARCH) and asymmetric model of exponential generalize autoregressive conditional heteroscedasticity (EGARCH) to analyse the volatility behaviour of five shariah-compliant stocks return in the FTSE Bursa Malaysia and its conventional counterparts from year 2009 to year 2019. The results indicate that 7 out of 10 stocks found EGARCH model showing a better estimate in describing stock return volatility. Most Shariah compliant stocks are more unstable than conventional stocks. Furthermore, the results of EGARCH models reveal the existence of asymmetric effects that is, difference in response when there is good news and bad news associated to the 10 stocks. [ABSTRACT FROM AUTHOR]
- Subjects :
- *STOCK prices
*GARCH model
*RATE of return on stocks
*ISLAMIC law
Subjects
Details
- Language :
- English
- ISSN :
- 0094243X
- Volume :
- 2895
- Issue :
- 1
- Database :
- Academic Search Index
- Journal :
- AIP Conference Proceedings
- Publication Type :
- Conference
- Accession number :
- 175915314
- Full Text :
- https://doi.org/10.1063/5.0192398