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