Revisiting Financial Volatility in the Indonesian Islamic Stock Market: GARCH – MIDAS Approach

Revisiting Financial Volatility in the Indonesian Islamic Stock Market: GARCH – MIDAS Approach

Introduction/main objectives: The aim of this research is to study the impact of macroeconomic variables on the Indonesian Islamic stock market’s volatility. Background issues: To predict the stock market’s volatility, daily or high-frequency data has been applied to the model’s explanatory variabl...

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Bibliographic Details
Main Author: Nevi Danila
Format: Article
Language:English
Published: Universitas Gadjah Mada 2023-05-01
Series:Journal of Indonesian Economy and Business
Subjects:
GARCH-MIDAS
Islamic stock market
interest rates
inflation
Online Access:https://journal.ugm.ac.id/v3/jieb/article/view/5704

Internet

https://journal.ugm.ac.id/v3/jieb/article/view/5704

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