Modelling and analysis the volatility of Dow Jones Islamic Indices Returns Using ARCH Models

  • Ibtihal BOUHAFS University of Ghardaia
Keywords: Shari’ah, Filters, Leverage Effect, Models, GARCH

Abstract

The purpose of this study is modeling and analysis the volatility of  Dow Jones Islamic indices though an application of both symmetric and asymmetric Generalized Autoregressive Conditional Heteroscedastic models and daily data of the Dow Jones Islamic Market index returns during the study period. The results show that Dow Jones Islamic Market index returns have the same commonly observed stylized facts of financial time series. Moreover, the best model for volatility modeling is the PGARCH model.

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Published
2022-06-05
How to Cite
BOUHAFS, I. (2022). Modelling and analysis the volatility of Dow Jones Islamic Indices Returns Using ARCH Models . Journal of Excellence for Economics and Management Research, 6(1), 409-424. https://doi.org/10.34118/jeemr.v6i1.3586
Section
Original Article