An application of GARCH modeling on the Malaysian sukuk spreads

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An application of GARCH modeling on the Malaysian sukuk spreads

This study explores the influencing factors of the Islamic bond (sukuk) spreads, by employing the generalised autoregressive conditional heteroscedasticity (GARCH) method. Apart from the general GARCH (1,1) model, a higher order of lags for both ARCH and GARCH terms are also considered which is appl...

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Bibliographic Details
Main Authors:	Rahman, Maya Puspa, Omar, Mohd Azmi, Kassim, Salina
Format:	Article
Language:	English
Published:	IIUM Institute of Islamic Banking and Finance, International Islamic University Malaysia 2013
Subjects:	HA154 Statistical data HG Finance
Online Access:	http://irep.iium.edu.my/56597/ http://irep.iium.edu.my/56597/1/Application%20of%20GARCH%20Modeling%20on%20Malaysian%20Sukuk%20Spreads.pdf

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