Volatility modelling of Malaysia Islamic and conventional stock prices by using GARCH and EGARCH model

Volatility modelling of Malaysia Islamic and conventional stock prices by using GARCH and EGARCH model

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 Burs...

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Bibliographic Details
Published in:AIP Conference Proceedings
Main Author: Hussin S.A.S.; Latip A.H.A.; Zahid Z.
Format: Conference paper
Language:English
Published: American Institute of Physics 2024
Online Access:https://www.scopus.com/inward/record.uri?eid=2-s2.0-85188455033&doi=10.1063%2f5.0192398&partnerID=40&md5=185f557c1f22ebe58bb711a9a8f35368

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https://www.scopus.com/inward/record.uri?eid=2-s2.0-85188455033&doi=10.1063%2f5.0192398&partnerID=40&md5=185f557c1f22ebe58bb711a9a8f35368

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