Volatility Estimation Of Islamic and Conventional Stock Prices Using GARCH Method

Authors

  • Nur Hidayah Abd Manaf UNIVERSITI TUN HUSSIEN ONN MALAYSIA
  • Isaudin Ismail

Keywords:

Volatility, Persistency, Islamic, Conventional, ARCH, GARCH

Abstract

Volatility estimation of the Islamic and conventional stock prices brings
significant in investment. Hence, this study focused on modelling in financial and it
is one of factors that have effect on volatility, persistency and performance of their
portfolio management. This study aimed to observe the stock prices trend, volatility
and persistency of the Islamic and conventional stock prices in Malaysia. This
objective can be achieved by selecting and applying ARCH and GARCH to
investigate the behavior of stock return volatility for Petronas Gas, AXIATA Group,
Public Bank and Malayan Bank covering the period from October 2007 until October
2021. The main findings. the model from GARCH family models. Incorporating the
proposed volatility model of this study can significantly improve the investor’s view
towards these two stock prices which is Islamic and conventional stock prices.

Downloads

Published

03-08-2022

Issue

Vol. 2 No. 1 (2022): EKST

Section

Articles

How to Cite

Abd Manaf, N. H., & Ismail, I. (2022). Volatility Estimation Of Islamic and Conventional Stock Prices Using GARCH Method. Enhanced Knowledge in Sciences and Technology, 2(1), 261-269. https://publisher.uthm.edu.my/periodicals/index.php/ekst/article/view/5411