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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 in both countries, albeit with a greater impact on Indonesia. Additional analyses show improved out-of-sample forecast gains with the inclusion of GPR data in the predictive model of the return volatility of Islamic stocks

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

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