A new approach for istijrar valuation under stochastic volatility
By employing VECM, Indonesia denotes that monetary policy shock in the short term stimulates significant shocks in the long term, whereas Malaysia experienced a stability trend showed by soft movement in the short term. As for Sudan, by employing VAR since no cointegration, it has a similar patte...
| Main Authors: | , |
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| Format: | Proceeding Paper |
| Language: | English English English |
| Published: |
Islamic Business School, UUM, Kedah
2014
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| Subjects: | |
| Online Access: | http://irep.iium.edu.my/39395/ http://irep.iium.edu.my/39395/1/ISBN_IBMC_2014.pdf http://irep.iium.edu.my/39395/2/Proceeding_Full_Paper_no.35-50_.pdf http://irep.iium.edu.my/39395/7/Nasir_paper_IBMC_2014.pdf |
| _version_ | 1848781776662560768 |
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| author | Bayram, Kamola Ganikhodjaev, Nasir |
| author_facet | Bayram, Kamola Ganikhodjaev, Nasir |
| author_sort | Bayram, Kamola |
| building | IIUM Repository |
| collection | Online Access |
| description | By employing VECM, Indonesia denotes that monetary policy shock in the short term stimulates
significant shocks in the long term, whereas Malaysia experienced a stability trend showed by soft
movement in the short term. As for Sudan, by employing VAR since no cointegration, it has a similar
pattern with that of Malaysia indicated by IRF result. The short term analysis shows that monetary policy
shock would lead to stability in the long run, although it shocked temporary except for exchange rate,
which is set up to be resilient for any shock and stable in the short term as well as long term.
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| first_indexed | 2025-11-14T15:54:56Z |
| format | Proceeding Paper |
| id | iium-39395 |
| institution | International Islamic University Malaysia |
| institution_category | Local University |
| language | English English English |
| last_indexed | 2025-11-14T15:54:56Z |
| publishDate | 2014 |
| publisher | Islamic Business School, UUM, Kedah |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | iium-393952018-06-11T02:48:07Z http://irep.iium.edu.my/39395/ A new approach for istijrar valuation under stochastic volatility Bayram, Kamola Ganikhodjaev, Nasir HG Finance By employing VECM, Indonesia denotes that monetary policy shock in the short term stimulates significant shocks in the long term, whereas Malaysia experienced a stability trend showed by soft movement in the short term. As for Sudan, by employing VAR since no cointegration, it has a similar pattern with that of Malaysia indicated by IRF result. The short term analysis shows that monetary policy shock would lead to stability in the long run, although it shocked temporary except for exchange rate, which is set up to be resilient for any shock and stable in the short term as well as long term. Islamic Business School, UUM, Kedah 2014-11 Proceeding Paper PeerReviewed application/pdf en http://irep.iium.edu.my/39395/1/ISBN_IBMC_2014.pdf application/pdf en http://irep.iium.edu.my/39395/2/Proceeding_Full_Paper_no.35-50_.pdf application/pdf en http://irep.iium.edu.my/39395/7/Nasir_paper_IBMC_2014.pdf Bayram, Kamola and Ganikhodjaev, Nasir (2014) A new approach for istijrar valuation under stochastic volatility. In: Islamic Business Management Conference (IBMC) 2014, 18th – 19th August 2014, Kuala Lumpur, Malaysia. |
| spellingShingle | HG Finance Bayram, Kamola Ganikhodjaev, Nasir A new approach for istijrar valuation under stochastic volatility |
| title | A new approach for istijrar valuation under stochastic volatility |
| title_full | A new approach for istijrar valuation under stochastic volatility |
| title_fullStr | A new approach for istijrar valuation under stochastic volatility |
| title_full_unstemmed | A new approach for istijrar valuation under stochastic volatility |
| title_short | A new approach for istijrar valuation under stochastic volatility |
| title_sort | new approach for istijrar valuation under stochastic volatility |
| topic | HG Finance |
| url | http://irep.iium.edu.my/39395/ http://irep.iium.edu.my/39395/1/ISBN_IBMC_2014.pdf http://irep.iium.edu.my/39395/2/Proceeding_Full_Paper_no.35-50_.pdf http://irep.iium.edu.my/39395/7/Nasir_paper_IBMC_2014.pdf |