A new approach for istijrar valuation under stochastic volatility

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.

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Abstract

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.

Item Type:	Conference or Workshop Item (UNSPECIFIED)
Additional Information:	4430/39395 ISBN: 978-983-44592-7-7, Proceedings ISLAMIC BUSINESS MANAGEMENT CONFERENCE 2014, p. 272-276
Uncontrolled Keywords:	Monetary Policy Shock, Islamic Banks, Vector Error-Correction Model (VECM), Vector Autoregression (VAR)
Subjects:	H Social Sciences > HG Finance
Kulliyyahs/Centres/Divisions/Institutes (Can select more than one option. Press CONTROL button):	Kulliyyah of Science > Department of Computational and Theoretical Sciences
Depositing User:	Prof. Nasir Ganikhodjaev
Date Deposited:	02 Dec 2014 12:14
Last Modified:	11 Jun 2018 10:48
URI:	http://irep.iium.edu.my/id/eprint/39395

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