INVESTIGATING VOLATILITY BEHAVIOUR: EMPIRICAL EVIDENCE FROM ISLAMIC STOCK INDICES
The main purpose of this research is to apply five univariate GARCH models to the daily stock returns of four major sharia stock indices. Two symmetric versions of the GARCH model (GARCH and MGARCH) and three asymmetric versions (EGARCH, TGARCH and PGARCH) are employed to estimate and forecast the v...
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| Format: | Article |
| Language: | English |
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Bank Indonesia
2020-09-01
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| Series: | Journal of Islamic Monetary Economics and Finance |
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| Online Access: | https://jimf-bi.org/index.php/JIMF/article/view/1256 |