مجلة الامتياز لبحــوث الاقتصاد والادارة
Volume 6, Numéro 1, Pages 409-424
2022-06-05

Modelling And Analysis The Volatility Of Dow Jones Islamic Indices Returns Using Arch Models



Authors : Bouhafs Ibtihal .

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.

Keywords

Shari’ah, Filters, Leverage Effect, Models, GARCH.

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