نمذجة تقلبات عوائد مؤشرات الأسواق المالية باستخدام نماذج GARCH : دراسة قياسية

الملخص EN

The study aims to examine and analyze the fluctuations in the returns of the Malaysian Islamic Stock Market Index (KLSE) using GARCH models during the period 2011-2019, which are daily historical data for the closing price of the Malaysian Islamic General Index (KLSE) carrying 2290 daily views and testing whether it is an independent series among them and tracking random walks The results showed that the E GARCH(1.1) model has indicated that the shocks to the volatility of returns are completely permanent, while it was also proven that negative shocks have a greater impact on the volatility of returns compared to positive shocks.

The Malaysian Islamic financial market has experienced a sharp decline not seen since the 2008 financial crisis, and it has been arrived at as the best model to be followed by Malaysian market returns.

For Mali it is the E-GARCH model (1.1 (1.1).