Volatility Modeling of Islamic Stock Indices Returns using GARCH Models
| المصدر: | مجلة الباحث |
|---|---|
| الناشر: | جامعة قاصدي مرباح ورقلة |
| المؤلف الرئيسي: | Ahmed, Sahnoune Sid (Author) |
| مؤلفين آخرين: | Boubakeur, Benlaib (Co-Author) |
| المجلد/العدد: | ع19 |
| محكمة: | نعم |
| الدولة: |
الجزائر |
| التاريخ الميلادي: |
2019
|
| الصفحات: | 551 - 562 |
| DOI: |
10.35156/0505-000-019-037 |
| ISSN: |
1112-3613 |
| رقم MD: | 1034428 |
| نوع المحتوى: | بحوث ومقالات |
| اللغة: | الإنجليزية |
| قواعد المعلومات: | EcoLink |
| مواضيع: | |
| كلمات المؤلف المفتاحية: |
Islamic Equity Indices | Volatility | GARCH | Stylized Facts
|
| رابط المحتوى: |
عدد مرات التحميل
2
| المستخلص: |
The purpose of this study is to find the GARCH specification and innovations distribution combination which best models the returns volatility of four major Islamic equity indices DJIM, S&P500 SH, FTSE SWORLD.IS and MSCI ISWD. The conditionally heteroscedastic autoregressive models considered are GARCH, EGARCH, AGARCH, NARCH, NGARCH, GJR GARCH, APARCH and NGARCH whereas the distributions considered are the normal, student, cauchy, laplace, logistics and EVD distributions. The study of the statistical properties of the different return series confirms that GARCH models are the most suitable for modeling purposes. The results of the estimations suggest that the combinations offering the best volatility modeling are: NGARCH-Laplace for the DJIM, APGARCH-Laplace for the S&P500 SH, GJR GARCH-Logistics for the SWORLD.IS and GJR GARCH-Student for the MSCI ISWD. |
|---|---|
| ISSN: |
1112-3613 |
عناصر مشابهة
-
Measuring the Effect of Exchange Rate Movements on Stock Market Returns Volatility: GARCH Model
بواسطة: بسبع، عبدالقادر سمير منشور: (2017) -
Modeling Volatility in the Stock Markets Using GARCH Models: Applied to Carbon, Water and Commodity Markets
بواسطة: Kalafate, Nadia منشور: (2023) -
Price Limits and Stock Returns Volatility in Jordanian Banks
بواسطة: Abu Tabenjeh, Sawsan Ali منشور: (2006) -
Modelling Volatility of the Market Returns of Jordanian Banks: Empirical Evidence Using GARCH Framework
بواسطة: Almahadin, Hamed Ahmad منشور: (2016) -
VOLATILITY OF RETURNS IN ARAB STOCK MARKETS
بواسطة: Dahel, Riad منشور: (2000)
