model relative to even very complex multivariate GARCH specifications, recently reported in the literature using measures of …-of-sample forecast tests indicate that the four-regime MS model is, indeed, superior to all of the GARCH specifications in forecasting …-asset return covariances, however, the MS model is surprisingly superior to all of the GARCH models. …

variables, interest rates, and inflation rate on two Islamic stock market indices. Using time series analysis such as GARCH the …

We extend the fractionally integrated exponential GARCH (FIEGARCH) model for daily stock return data with long memory …-in-mean effect is significant, and the FIEGARCH-M model outperforms the original FIEGARCH model and alternative GARCH …