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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/

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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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( 244 ) What are the Contextual Influences of Bank Criminality in Osun East Senatorial District?
( 245 ) Innovations Dissemination Approaches among Government Co-Operative Supporting Organisations in Tanzania
( 246 ) An Agnostic Analysis of Exchange Rate Movement in Ghana
( 247 ) Perceived Poverty and Alleviation Efforts of Kogi State Community and Social Development Agencies in Kogi State: An Empirical Investigation
( 248 ) Analysing the Financial Strength of Nigeria: An Approach to Estimate the Index of Financial Safety
( 249 ) Trade Union Performance and Industrial Relations Climate in the Nigerian Petroleum Sector
( 250 ) Externality Effects of Sachet and Plastic Bottled Water Consumption on the Environment: Evidence from Benin City and Okada in Nigeria
( 251 ) Analysis of Traffic Accident Occurrence at Hazardous Road Locations: A Case Study in Tunisia
( 252 ) The Impact of Land Price Movements on the Properties in Croatia
( 253 ) An Empirical Investigation of Real Exchange Rate Responses to Foreign Currency Inflows: Revisiting the Dutch Disease Phenomenon in South Asia
( 254 ) Financial Inclusion and Poverty Alleviation: The Contribution of Commercial Banks in West Africa
( 255 ) Management of The CFA Franc: What are the Fundamentals of the Real Exchange Rate in West African Economic and Monetary Union (WAEMU)?
( 256 ) Evaluating the Model of Demand for Money in Nigeria
( 257 ) Intellectual Property Rights, Human Capital and Innovation in Emerging and Developing Countries
( 258 ) Entrepreneurship Training for Mitigating Unemployment in Nigeria: How have the Tertiary Institutions Fared?
( 259 ) Evaluating the Effectiveness of CAPM and APT for Risk Measuring and Assets Pricing
( 260 ) Innovation Strategy and Sustainability of Micro, Small and Medium Enterprises in South East Nigeria
( 261 ) Do Derivative Instruments Increase Firm Risk for Indonesia Non-Financial Companies?
( 262 ) State and Evolution of Public and Private Research and Development in Bulgarian Agriculture
( 263 ) Inflation, Oil Revenue, and Monetary Policy Mix in an Oil-Dependent Economy: Empirical Insights from the Case of Nigeria
( 264 ) Critical Review of Literature on Brand Equity and Customer Loyalty
( 265 ) Is Loyalty Still the Same? An Investigation of the Antecedents of Loyalty
( 266 ) Investigating the Environmental Effects of Economic Growth in African Economies
( 267 ) Effect of Savings Deposit Rate on Stock Market Capitalization in Nigeria: An Empirical Investigation
( 268 ) Analysis of Credit Ratings Determinants: Evidences in Brazilian and American States
( 269 ) Fraud Auditing Law Implications in the Case of Jiwasraya Insurance in Indonesia
( 270 ) The Relationship between Creative Accounting Risks and Auditing Risks from the Perspective of External Auditors in Saudi Arabia
( 271 ) Productive Welfare Policy: An Innovative Way in Social Safety Net in Malaysia
( 272 ) Accountability and Transparency in Nation Building: A COVID-19 Experience in Sub-Saharan Africa
( 274 ) Perception of Professional Accountants about the Application of Artificial Intelligence (AI) in Auditing Industry of Bangladesh
( 275 ) The Impact of Economic Growth, Oil Price, and Financial Globalization Uncertainty on Financial Development: Evidence from Selected Leading African Countries
( 276 ) Testing the Validity of Gibrats Law in the Context of Profitability and Leverage
( 277 ) Exchange Rate Volatility and Agricultural Commodity Prices i Nigeria (2000-2018)
( 278 ) Interest Rate Ceilings and Financial Exclusion in Kenya: Evidence from Commercial Banks’ Sectoral Credit Distribution
( 280 ) Corporate Social Responsibility Disclosure in Indonesia: A Bibliographic Study
( 281 ) The Dimensions of the Quality Perceived by Users in a Clinical Analysis Laboratory of A University Hospital
( 282 ) Ethical Context of Organization and Turnover Intention of Women Employees: The Mediating Role of Perceived Organizational Support
( 283 ) A Process Model for Conformance of Health Information Systems: Towards National Interoperability
( 284 ) Likely Effect of Gender and Education on Information Adoption and Utilization among Sugarcane Farmers in the Nyanza Region, Kenya
( 285 ) Non-Linear Effects of Intellectual Property Rights on Technological Innovation: Evidence from Emerging and Developing Countries
( 286 ) Change Management and Firm Performance of Selected Deposit Money Banks in Owerri, Imo State, Nigeria
( 287 ) The Effect of Disruptive Factors on Inventory Control as a Mediator and Organizational Performance in Health Department of Punjab, Pakistan
( 288 ) Factors Influencing Farmers’ Adoption of Soil Conservation Development
( 289 ) Risk Management and Shareholders’ Wealth Maximization
( 290 ) International Financial Reporting Standards Adoption and Earnings Management: The Fundamental Effect Framework
( 291 ) Effect of Tax Administration on Tax Revenue of States in African Countries: Evidence from Nigeria
( 292 ) An Empirical Analysis of the Impact of Decentralization on Poverty in Cameroon
( 293 ) Fiscal Decentralization and Economic Growth: Assessing Public Policy in Ukraine
( 294 ) Influence of Corporate Characteristics on Firm Leverage: Evidence from Bangladesh
( 295 ) Human Capital and Economic Growth in Latin America: A Cointegration and Causality Analysis
( 296 ) Exploring the Dimensions Using Exploratory Factor Analysis of Disruptive Factors and Inventory Control
( 297 ) Panel Data Estimators in the Presence of Serial and Spatial Correlation with Panel Heteroscedasticity: A Simulation Study
( 298 ) An Empirical Investigation of the Impact of FDI, Export and Gross Domestic Savings on the Economic Growth in Bangladesh
( 299 ) The Role of Women in Rural Development in Enugu State, Nigeria
( 300 ) The Impact of Data Frequency on the Level of Exchange Rate Pass-through to Consumer Prices in Nigeria
( 301 ) International Business Expansion: The Roles of Affiliation and Ownership
( 302 ) What Explains the Overwhelmingly Positive Perception towards Microfinance Institutions? Application of Firth’s Logistic Regression in a Small Sample
( 303 ) Financial Risks in Turkish Banking Industry: A Panel Data Analaysis on Istanbul Stock Exchange
( 304 ) Exchange Rate Fluctuations and the Performance of Nairobi Securities Exchange Market in Kenya During the Coronavirus Pandemic
( 305 ) A Qualitative Analysis of the Impediments to Business Innovation and Information Management in Nigeria: A Policy Stance
( 306 ) The Euribor and EONIA Reform: Achieving Regulatory Compliance while Protecting Financial Stability
( 307 ) The Financial Decentralization Policy for Local Development in Cameroon: An Econometric Analysis
( 308 ) Creative Marketing and Innovative Branding: An Effective Way to Attract Customers
( 309 ) Determinant of Indonesian Plantation Industry Investment ERA 4.0
( 310 ) Brexit Calling! Aftermath in the Pharmaceutical Industry
( 311 ) The Reasons Behind the Shift of Patients from Public to Private Hospitals: Evidence from Public Hospitals in Cumilla City Corporation
( 312 ) Innovation Efforts in the Face of Institutional Obstacles in Latin America
( 313 ) Assessment of Mental Health of Undergraduate Students Based on Age: A Bayesian Ordinal Quantile Regression Approach
( 314 ) Analyzing the Impact of Eco-Innovation on Carbon Emissions Abatement: Evidence from OECD Countries
( 315 ) Research on the Construction and Application of Chinese Enterprises Overseas Port Investment Confidence Index Based on D-S Evidence Theory
( 316 ) Assessing Access to Comprehensive HIV Treatment Services for Men Who Have Sex with Men and Female Sex Workers in the Bamenda Health District
( 317 ) The Promise and Reality of Public Sector Reform – A Case Study of the Implementation of Trinidad and Tobagos Health Sector Reform
( 318 ) Cross-Time-Frequency Analysis of Volatility Interdependence among Stock and Currency Markets
( 319 ) Decision Making of Charity Fund Allocation: Evidence from Hong Kong
( 320 ) The Impact of Covid-19 Pandemic on the Global Economy: Emphasis on Poverty Alleviation and Economic Growth
( 321 ) Modelling Stock Returns Volatility and Asymmetric News Effect: A Global Perspective
( 322 ) The Effects of The Covid-19 Pandemic on Exploitative and Explorative Strategies of Pharmaceutical Industries in Brazil
( 323 ) IT Governance as Drivers of Dynamic Capabilities to Gain Corporate Performance Under the Effects of Environmental Dynamism
( 324 ) Fertility, Education, Labor Force Outcomes, and Cultural Acculturation of Immigrants
( 325 ) The Influence of Institutional Voids in the Institutionalization of Bitcoins as a Currency
( 326 ) Income Shocks and Child Mortality Rates: Evidence from Fluctuations in Oil Prices
( 327 ) A Review Paper on Skills Mismatch in Developed and Developing Countries
( 328 ) Socioeconomic Determinants of Drug Abuse in the United States
( 329 ) Employee Motivation in Light Oncial, Non-Financial Rewards and Employee Commitment among Pharmaceutical SMEs of Indonesia
( 330 ) The New Pattern of Online Credit Loan in the Post-Epidemic Era
( 331 ) Nexus among Foreign Exchange Reserve, Remittance and Trade Openness: An Empirical Investigation in the Case of Bangladeshi Economy
( 332 ) Central Bank Independence and Economic Growth of Ghana: What Inflation and GDP Per Capita Growth Rates Matter?
( 333 ) The Impact of Trade on Poverty in Sub-Saharan Africa: Do Sources Matter?
( 334 ) Employee Creative Behaviour: A Predictive Study of Perceived Relational Injustice and Workplace Ostracism among Public Sector Workers
( 335 ) Analysis of Synergies in Indian Corporate M&A Deals: A Logit Regression Approach
( 336 ) On the OCC Announcement Allowing US Banks to Use Stablecoins and the Immediate Impact on Cryptocurrency Valuations
( 337 ) Fiscal Allocation and Intergovernmental Relations in the Nigeria’s Fourth Republic
( 338 ) The Relationship Between Market Share and Profitability of Ghanaian Banks
( 339 ) World Governance Indicators and Fraud: Evidence from One Belt One Road Countries
( 340 ) Investigating the Nexus among Poverty Alleviation, Unemployment, and Economic Development in Nigeria
( 341 ) CSR Themes Quality, Good Corporate Governance, and Earnings Management: Evidence from Indonesia
( 342 ) An Analyses of Exchange Rate Volatility: A Case of SANE Countries
( 343 ) Income Smoothing, Earnings Management and the Credibility of Accounting Information
( 344 ) The Role of Social Capital and Social Innovation in Economic Growth
( 345 ) The Influence of Organizational Culture, Communication and Work Satisfaction on Organizational Commitments: A Case Study of Lecturers at Yayasan Pendidikan Borobudur
( 346 ) Financial Instability and the State of Environmental Quality in Nigeria
( 347 ) Local Governments and the Conundrum of Service Delivery in Nigeria: What Policy Implications?
( 348 ) Relational Capabilities under Moderating and Mediating Effects to Understand their Impacts on Firm Financial Performance
( 349 ) Econometric Analysis of Dutch Disease Implication of China-Africa Trade
( 350 ) Effects of Green Human Resource Management on Employee Green Behavior: Moderating Role of Employee Environmental Knowledge
( 351 ) Inflationary Rate in Nigeria: Impact of Foreign Capital Inflows
( 352 ) Facing the Challenges of Covid-19 in the Egyptian Banking Sector: The Role of Bricoleurs in Achieving Organizational Innovations via Learning through Improvisation
( 353 ) Modeling and Estimation of Cumulative Abnormal Return using VECM
( 354 ) Natural Resource Rents-Capital Flight Nexus in Selected ECOWAS Countries: Evidence from Non-Linear ARDL Approach
( 355 ) Localised Initiatives: Households Contribution to Infrastructure Development in Ondo State, Nigeria
( 356 ) Interest Rate–Economic Growth Nexus Under Currency Board Operations
( 357 ) The Role of Emotional Intelligence in Project Success, Mediated by the Management of Conflict, Communication and Trust
( 358 ) Identifying Combinations of Individual Governance Indicators Essential for Attracting International Capital Flows to Asian Economies
( 359 ) Performance Evaluation of Chinese Commercial Banks Based on the Malmquist Index
( 363 ) Awareness on Air Pollution and Risk Preparedness among Residents in Kigali City of Rwanda
( 370 ) Internal Audit Quality and Disclosure on Risk Management and Internal Control
( 377 ) A Review on Criteria for Green Infrastructure to be Adopted by Local Authorities
( 379 ) Improved Performance Through Empowerment of Small Industry
( 381 ) Teachers Characteristics and Students’ Performance Level in Senior Secondary School Financial Accounting
( 388 ) Foreign Direct Investment (FDI) and Employment: A Case of Province of Punjab, Pakistan
( 392 ) Is Brics a Viable Solution for Russia in the Context of the Present Eu’s Economic Sanctions?
( 393 ) Structural Breaks and the Long-Run Stability of Demand for Real Broad Money Function in Nigeria: A Gregory-Hansen Approach
( 394 ) The Impact of Dividend Policy on Shareholders’ Wealth before and After Financial Melt down: Evidence from FMCG Sector in India
( 395 ) Stock Market Performance and Economic Growth: Evidence from Nigeria Employing Vector Error Correction Model Framework
( 396 ) The Biodiesel Market in Brazil and the Prospects for the Sector
( 403 ) The Potential of Rural–Urban Linkages for Sustainable Development and Trade
( 404 ) Workplace Bullying: Modelling Construct Validity in an Australian Public Sector Workforce
( 409 ) Share Options, Share Award and Firm’s Performance: Evidence from Malaysian Public Listed Companies
( 410 ) The Effect of Outsourcing on Anglogold Ashanti Obuasi Mines Performance
( 411 ) Insecurity and Foreign Direct Investment in Nigeria