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

Hafezian, Pantea (2017) Estimating value at risk for sukuk market using generalized autoregressive conditional heteroskedasticity models. PhD thesis, Universiti Teknologi Malaysia, Faculty of Islamic Civilization.

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Abstract

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.

Item Type:Thesis (PhD)
Additional Information:Thesis (Ph.D (Fiqh Sains dan Teknologi)) - Universiti Teknologi Malaysia, 2017; Supervisor : Assoc. Prof. Dr. Hussin Salamon
Subjects:B Philosophy. Psychology. Religion > BP Islam. Bahaism. Theosophy, etc
Divisions:Islamic Civilisation
ID Code:79175
Deposited By: Widya Wahid
Deposited On:04 Oct 2018 11:28
Last Modified:04 Oct 2018 11:28

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