Purpose - This paper aims to examine the performance of Islamic and conventional stocks listed at the Pakistan Stock … techniques. Such research has not been undertaken in the Pakistan's equity market since. …

run association is explored using VECM model. The volatility spillover dynamics is examined using the GARCH and EGARCH …

variables, interest rates, and inflation rate on two Islamic stock market indices. Using time series analysis such as GARCH the …

GARCH model. The GDFM, applied to a large number of series, captures the multivariate information and disentangles the … a GARCH.We compare GDFM+GARCH and standard GARCH performance on two samples up to 171 series, providing one …-step-ahead volatility predictions of returns. The GDFM+GARCH model outperforms the standard GARCH in most cases. These results are robust …

This paper investigates the forecasting performance of three popular variants of the non-linear GARCH models, namely VS-GARCH …, GJR-GARCH and Q-GARCH, with the symmetric GARCH(1,1) model as a benchmark. The application involves ten European stock … price indexes. Forecasts produced by each non-linear GARCH model and each index are evaluated using a common set of …

ARCH modelling framework of Engle (1982) and its GARCH generalization of Bollerslev (1986) gave a huge impetus to … employ asymmetric models being a modification of a traditional GARCH. In the paper we used an approach of Engle and Ng (1993 …

We extend the fractionally integrated exponential GARCH (FIEGARCH) model for daily stock return data with long memory …-in-mean effect is significant, and the FIEGARCH-M model outperforms the original FIEGARCH model and alternative GARCH …

Generalized autoregressive conditional heteroskedasticity (GARCH) processes have become very popular as models for … densities and their parametric competitors within different generalized GARCH models such as APARCH and GJR-GARCH. …