Moghar Adil, Hamza Faris


Volatility is an important variable in portfolio management. Generally, it is the level of risk in the market. The purpose of this article is to measure the impact of good and bad news on the evolution and risk associated with these securities in the financial market. To do so, we proceeded to use the EGARCH model (generalized autoregressive heteroskedasticity condition model), the data used in this study correspond to the portfolio Dow Jones Islamic Market 50 US. The results show that good and bad news has different impacts on assets.


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modeling, ARCH, GARCH, EGARCH, news impact curve, innovations

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