Forecasting the Realized Volatility of Islamic Equities using Multivariate Har-Type Models
This study proposes nine multivariate intraday models using various realized variation measures with the aim to improve volatility forecasting in the Islamic stock market in Malaysia using a dataset from 1st April 2008 to 31st March 2018. The findings show that considering independently the jump-rob...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | en |
| Published: |
UUM Press
2025
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| Subjects: | |
| Online Access: | https://repo.uum.edu.my/id/eprint/32497/1/IJBF%2020%2001%202025%2039-67.pdf https://repo.uum.edu.my/id/eprint/32497/ https://e-journal.uum.edu.my/index.php/ijbf/ |
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