run association is explored using VECM model. The volatility spillover dynamics is examined using the GARCH and EGARCH … Conventional index. Furthermore, this study finds asymmetric bidirectional volatility spillovers between Islamic and conventional …

-correction method can improve the n-GARCH and n-EGARCH VaR forecasts so much that the acquired VaR predictions are different from the …-correction step to improve Value-at-Risk (VaR) forecasting ability of the n-EGARCH (normal EGARCH) model and correct the VaR for both … proposed probability. Additionally, allowing asymmetry in the conditional variance using the EGARCH model with normal …