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

• 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

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. © 2024 Author(s).