Skip to main content
Financial Innovation

Table 8 Volatility estimates

From: Performance of Islamic and conventional stock indices: empirical evidence from an emerging economy

\( {h}_{m,t}={\alpha}_0+{\alpha}_1\kern0.5em {\varepsilon}_{m,t-1}^2+\beta {h}_{m,t-1}+{\delta}_1F{X}_{t-1}+{\delta}_2 IN{T}_{t-1} \)

Panel B (Conditional variance Equation)

Index Name

α 0

α 1

β

α 1 + β

δ 1

δ 2

Conventional index (KSE-100)

39.7251

0.93999

0.0044

0.2499

0.51419

0.36302

(1.322)*

(9.412)*

(-23.74)*

(19.52)

(64.921)*

(28.32)*

Islamic Index (KMI-30)

53.9856

0.7996

0.2247

0.0486

6.3333

0.5941

(1.180)*

(1.850)*

(13.854)*

(0.520)

(18.95)*

(0.2391)

  1. The index volatility (risk) is measured by variable (h m,t ), INT t − 1 is short term interest rate volatility, FX t − 1 is foreign exchange volatility, and α 0, α 1, β, δ 1  and δ 2 are parameters
  2. Note: Numbers in parentheses are t-values * Significant at 1 % level; ** Significant at 5 % level; *** Significant at 10 % level
Back to article page