Modeling Volatility for Conventional and Islamic Stock Market Indices

Modeling Volatility for Conventional and Islamic Stock Market Indices

This study aims to investigate the volatility between Conventional and Islamic stock market by deploying Autoregressive Conditional Heteroskedastic (ARCH) model and Generalized ARCH (GARCH) models along with their variants, Power ARCH (PARCH), Threshold ARCH (TARCH) and Exponential GARCH (EGARCH) on...

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Bibliographic Details
Main Authors: Farhan Ahmed, Iqra Awais, Anjum Pervaiz
Format: Article
Language:English
Published: Shaheed Zulfikar Ali Bhutto Institute of Science and Technology 2016-06-01
Series:JISR Management and Social Sciences & Economics
Subjects:
Stock market indices
Volatility
ARCH
Online Access:https://jisrmsse.szabist.edu.pk/index.php/szabist/article/view/279

Internet

https://jisrmsse.szabist.edu.pk/index.php/szabist/article/view/279

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