Journal ArticleOPEN ACCESS

An Estimation of Value at Risk using GARCH Models for the Conventional and Islamic Stock Market in Malaysia

  • Aridi N
  • Cheong C
  • Hooi T
International Journal of Academic Research in Business and Social Sciences (2018) 8(11)
DOI: 10.6007/ijarbss/v8-i11/5568
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Abstract

This study attempts to estimate the value-at-risk (VaR) to forecast volatility for both conventional and Islamic stock markets in Malaysia. In particular, the purpose of the article is to investigate whether GARCH models are accurate in the evaluation of VaR in emerging …

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APA

Aridi, N. A., Cheong, C. W., & Hooi, T. S. (2018). An Estimation of Value at Risk using GARCH Models for the Conventional and Islamic Stock Market in Malaysia. International Journal of Academic Research in Business and Social Sciences, 8(11). https://doi.org/10.6007/ijarbss/v8-i11/5568

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