Estimating value at risk for sukuk market using generalized autoregressive conditional heteroskedasticity models

Islamic Finance has experienced unsurpassed growth over the past ten years. A major reason for this accelerated growth is the wide issuance of Sukuk. The structure of Sukuk are akin to conventional bonds and allow sovereign and corporate entities raising funds in capital markets in compliance with t...

Full description

Saved in:

Bibliographic Details
Main Author:	Hafezian, Pantea
Format:	Thesis
Language:	English
Published:	2017
Subjects:	BP Islam Bahaism Theosophy, etc
Online Access:	http://eprints.utm.my/id/eprint/79175/1/PanteaHafezianPFTI2017.pdf
Tags:	Add Tag No Tags, Be the first to tag this record!

id	my-utm-ep.79175
record_format	uketd_dc
spelling	my-utm-ep.791752018-10-04T03:28:27Z Estimating value at risk for sukuk market using generalized autoregressive conditional heteroskedasticity models 2017 Hafezian, Pantea BP Islam. Bahaism. Theosophy, etc Islamic Finance has experienced unsurpassed growth over the past ten years. A major reason for this accelerated growth is the wide issuance of Sukuk. The structure of Sukuk are akin to conventional bonds and allow sovereign and corporate entities raising funds in capital markets in compliance with the Sharia philosophy of Islam. This study offers an overview of the Sukuk data time series, and a description of the statistical and distributional features related to its operation as a liquidity instrument in the secondary market. Subsequently a wide-ranging list comprising both symmetric and asymmetric GARCH models such as GARCH, EGARCH, GJRGARCH, IGARCH and asymmetric power GARCH were considered for modelling the volatility of the Sukuk market. Concisely, through this investigation, the researcher determined if Sukuk are financial tools with the exact characteristics of conventional bonds, or a separate financial instrument with features of their own. The significant of this matter is linked to the fact that in several developing countries with pronounced Muslim populations, thus the study maintained that traditional debt markets cannot thrive if the availability of Sukuk is beyond reach. Ultimately, this study discovered that while an obvious theoretical disparity exists between Sukuk and conventional bonds, there are similarities in their performances where the secondary market is concerned. This study also determined that for predicting capability in the Sukuk market, the performance of asymmetric GARCH models is superior to that of symmetric models. Finally, this study demonstrated that the student-t distribution is more favorable than normal or generalized error distribution. 2017 Thesis http://eprints.utm.my/id/eprint/79175/ http://eprints.utm.my/id/eprint/79175/1/PanteaHafezianPFTI2017.pdf application/pdf en public phd doctoral Universiti Teknologi Malaysia, Faculty of Islamic Civilization Faculty of Islamic Civilization
institution	Universiti Teknologi Malaysia
collection	UTM Institutional Repository
language	English
topic	BP Islam Bahaism Theosophy, etc
spellingShingle	BP Islam Bahaism Theosophy, etc Hafezian, Pantea Estimating value at risk for sukuk market using generalized autoregressive conditional heteroskedasticity models
description	Islamic Finance has experienced unsurpassed growth over the past ten years. A major reason for this accelerated growth is the wide issuance of Sukuk. The structure of Sukuk are akin to conventional bonds and allow sovereign and corporate entities raising funds in capital markets in compliance with the Sharia philosophy of Islam. This study offers an overview of the Sukuk data time series, and a description of the statistical and distributional features related to its operation as a liquidity instrument in the secondary market. Subsequently a wide-ranging list comprising both symmetric and asymmetric GARCH models such as GARCH, EGARCH, GJRGARCH, IGARCH and asymmetric power GARCH were considered for modelling the volatility of the Sukuk market. Concisely, through this investigation, the researcher determined if Sukuk are financial tools with the exact characteristics of conventional bonds, or a separate financial instrument with features of their own. The significant of this matter is linked to the fact that in several developing countries with pronounced Muslim populations, thus the study maintained that traditional debt markets cannot thrive if the availability of Sukuk is beyond reach. Ultimately, this study discovered that while an obvious theoretical disparity exists between Sukuk and conventional bonds, there are similarities in their performances where the secondary market is concerned. This study also determined that for predicting capability in the Sukuk market, the performance of asymmetric GARCH models is superior to that of symmetric models. Finally, this study demonstrated that the student-t distribution is more favorable than normal or generalized error distribution.
format	Thesis
qualification_name	Doctor of Philosophy (PhD.)
qualification_level	Doctorate
author	Hafezian, Pantea
author_facet	Hafezian, Pantea
author_sort	Hafezian, Pantea
title	Estimating value at risk for sukuk market using generalized autoregressive conditional heteroskedasticity models
title_short	Estimating value at risk for sukuk market using generalized autoregressive conditional heteroskedasticity models
title_full	Estimating value at risk for sukuk market using generalized autoregressive conditional heteroskedasticity models
title_fullStr	Estimating value at risk for sukuk market using generalized autoregressive conditional heteroskedasticity models
title_full_unstemmed	Estimating value at risk for sukuk market using generalized autoregressive conditional heteroskedasticity models
title_sort	estimating value at risk for sukuk market using generalized autoregressive conditional heteroskedasticity models
granting_institution	Universiti Teknologi Malaysia, Faculty of Islamic Civilization
granting_department	Faculty of Islamic Civilization
publishDate	2017
url	http://eprints.utm.my/id/eprint/79175/1/PanteaHafezianPFTI2017.pdf
_version_	1747818164569243648

Estimating value at risk for sukuk market using generalized autoregressive conditional heteroskedasticity models

Similar Items