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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
IIUM Institute of Islamic Banking and Finance, International Islamic University Malaysia
2013
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| Subjects: | |
| Online Access: | http://irep.iium.edu.my/56597/ http://irep.iium.edu.my/56597/ http://irep.iium.edu.my/56597/1/Application%20of%20GARCH%20Modeling%20on%20Malaysian%20Sukuk%20Spreads.pdf |