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Keyword: geopolitical risk, islamic stocks, predictability, out-of-sample forecast, garch-midas × Clear all

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Geopolitical Risk and the Return Volatility of Islamic Stocks in Indonesia and Malaysia: A GARCH-MIDAS Approach

Umar Ndako · Afees A. Salisu · Muritala O. Ogunsiji ·Asian Economics Letters ·2021

In this paper, the predictive value of geopolitical risk (GPR) for the return volatility of Islamic stocks in Indonesia and Malaysia is examined. GPR data, whether global or country-specific, heighten the return volatility of Islamic stocks...

geopolitical risk, islamic stocks, predictability, out-of-sample forecast, garch-midas

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