Abstract

This article examines the hypotheses regarding the impact of asset quality and firm size on the volatility of
returns (specifically, the standard deviation of return on assets and standard deviation of return on equity) of
insurance companies in Egypt. The study utilizes the ARDL and GARCH models. The findings indicate that
asset quality is related to the volatility of returns, as specified by the standard deviation of return on assets and
the standard deviation of return on equity. The results reveal a positive relationship between asset quality and the
volatility of returns. However, firm size (measured by the natural logarithm of total assets) demonstrates a
negative relationship with the volatility of returns, as measured by both the standard deviation of return on equity
and the standard deviation of return on assets. This paper focuses on investigating the relationship between asset
quality and firm size with the volatility of returns, analyzing a sample of 23 Egyptian insurance firms over the
period from 1999 to 2019.

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