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The Economics and Finance Letters

February 2015, Volume 2, 2, pp 8-23

Estimating Value at Risk for Sukuk Market Using Generalized Auto Regressive Conditional Heteroskedasticity Models

Pantea Hafezian

,

Hussin Salamon

,

Mahendran Shitan

Pantea Hafezian 1 ,

Hussin Salamon 1 Mahendran Shitan 3

  1. Faculty of Islamic Civilization, University Technology Malaysia Johor Bahru, Skudai, Malaysia 1

  2. Laboratory of Computational Statistics and Operations Research Institute for Mathematical Research University Putra Malaysia, Serdang, Malaysia; Department of Mathematics, Faculty of Science University Putra Malaysia, Serdang, Malaysia 3

Pages: 8-23

DOI: 10.18488/journal.29/2015.2.2/29.2.8.23

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Abstract:

In this paper, we compare the forecasting ability of different GARCH models to estimate value at risk in sukuk market.  A wide extensive list of both symmetric and asymmetric GARCH models (including GARCH, EGARCH, GJR-GARCH, IGARCH and Asymmetric power GARCH) were considered in modeling  the volatility in the sukuk market. All VaR estimations are carried out by “rugarch” package in “R” software. The performance of these models is compared by both in-sample and out-of-sample analysis.  We found that the performance of asymmetric models in estimating value at risk are superior in both in-sample and out-of-sample evaluation. We also found that in most cases the student-t distribution is more preferable than normal or generalized error distribution (GED).
Contribution/ Originality
This study is one of very few studies which have investigated the behavior of sukuk data in secondary market and describes characteristics of its statistical distribution function. Another contribution is comparing the estimation ability of various GARCH models in order to find superior model to estimate VAR in sukuk market.

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Reference:

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( 243 ) Innovations Dissemination Approaches among Government Co-Operative Supporting Organisations in Tanzania
( 244 ) An Agnostic Analysis of Exchange Rate Movement in Ghana
( 245 ) Perceived Poverty and Alleviation Efforts of Kogi State Community and Social Development Agencies in Kogi State: An Empirical Investigation
( 246 ) Analysing the Financial Strength of Nigeria: An Approach to Estimate the Index of Financial Safety
( 247 ) Trade Union Performance and Industrial Relations Climate in the Nigerian Petroleum Sector
( 248 ) Externality Effects of Sachet and Plastic Bottled Water Consumption on the Environment: Evidence from Benin City and Okada in Nigeria
( 249 ) Analysis of Traffic Accident Occurrence at Hazardous Road Locations: A Case Study in Tunisia
( 250 ) The Impact of Land Price Movements on the Properties in Croatia
( 251 ) An Empirical Investigation of Real Exchange Rate Responses to Foreign Currency Inflows: Revisiting the Dutch Disease Phenomenon in South Asia
( 252 ) Financial Inclusion and Poverty Alleviation: The Contribution of Commercial Banks in West Africa
( 253 ) Management of The CFA Franc: What are the Fundamentals of the Real Exchange Rate in West African Economic and Monetary Union (WAEMU)?
( 254 ) Evaluating the Model of Demand for Money in Nigeria
( 255 ) Intellectual Property Rights, Human Capital and Innovation in Emerging and Developing Countries
( 256 ) Entrepreneurship Training for Mitigating Unemployment in Nigeria: How have the Tertiary Institutions Fared?
( 257 ) Evaluating the Effectiveness of CAPM and APT for Risk Measuring and Assets Pricing
( 258 ) Innovation Strategy and Sustainability of Micro, Small and Medium Enterprises in South East Nigeria
( 259 ) Do Derivative Instruments Increase Firm Risk for Indonesia Non-Financial Companies?
( 260 ) State and Evolution of Public and Private Research and Development in Bulgarian Agriculture
( 264 ) Awareness on Air Pollution and Risk Preparedness among Residents in Kigali City of Rwanda
( 274 ) A Review on Criteria for Green Infrastructure to be Adopted by Local Authorities
( 276 ) Improved Performance Through Empowerment of Small Industry
( 278 ) Teachers Characteristics and Students’ Performance Level in Senior Secondary School Financial Accounting
( 285 ) Foreign Direct Investment (FDI) and Employment: A Case of Province of Punjab, Pakistan
( 289 ) Is Brics a Viable Solution for Russia in the Context of the Present Eu’s Economic Sanctions?
( 290 ) Structural Breaks and the Long-Run Stability of Demand for Real Broad Money Function in Nigeria: A Gregory-Hansen Approach
( 291 ) The Impact of Dividend Policy on Shareholders’ Wealth before and After Financial Melt down: Evidence from FMCG Sector in India
( 292 ) Stock Market Performance and Economic Growth: Evidence from Nigeria Employing Vector Error Correction Model Framework
( 293 ) The Biodiesel Market in Brazil and the Prospects for the Sector