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Forecasting volatility using bootstrap MCEWMA following Sukuk Ijarah issuances

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dc.contributor.affiliationsFaculty of Economics and Muamalat
dc.contributor.affiliationsUniversiti Sains Islam Malaysia (USIM)
dc.contributor.authorRahim S.A.en_US
dc.contributor.authorAhmad N.en_US
dc.date.accessioned2024-05-29T02:04:47Z
dc.date.available2024-05-29T02:04:47Z
dc.date.issued2015
dc.descriptionInternational Business Management Year:2015 Volume:9 Issue:4 Page No.581 - 589en_US
dc.description.abstractThe aim of this study is to estimate Sukuk volatility using volatility forecasting model which is: Moving Centerline Exponential Weighted Moving Average (MCEWMA) for the period between 2008 and 2011. This research also aims to estimate the best method to find out the Sukuk volatility by Sukuk Ijarah structure for the period between 2008 and 2011. It is also important to examine the best performance between the real model of MCEWMA and the hybrid model of Bootstrap MCEWMA (BMCEWMA). This study focuses on FTSE Bursa Malaysia Emas Shari'ah Index (FBM EMAS) and FTSE Bursa Malaysia Hyrah Shari'ah Index (FBM Hijrah). The sources of data come from data stream, bloomberg database, securities commission Malaysia and Bursa Malaysia. The results show the hybrid model of Bootstrap MCEWMA is better than the real Model. It concludes that the application of BMCEWMA is better than MCEWMA. The researcher advices policy makers to guide regulators, investors and issuers to the best Sukuk that remained stable during a crisis. This analysis will provide valuable information and guidelines to issuers, policy makers, regulatory bodies and investors to Islamic bonds. Medwell Journals, 2015.en_US
dc.description.natureFinalen_US
dc.identifier.doi10.3923/ibm.2015.581.589
dc.identifier.epage589
dc.identifier.issn19935250
dc.identifier.issue4
dc.identifier.scopus2-s2.0-84928680115
dc.identifier.spage581
dc.identifier.urihttps://www.scopus.com/inward/record.uri?eid=2-s2.0-84928680115&doi=10.3923%2fibm.2015.581.589&partnerID=40&md5=98840664490d8a4f91f74d6eab2bb592
dc.identifier.urihttps://medwelljournals.com/abstract/?doi=ibm.2015.581.589
dc.identifier.urihttps://oarep.usim.edu.my/handle/123456789/10307
dc.identifier.volume9
dc.languageEnglish
dc.language.isoen_USen_US
dc.publisherMedwell Journalsen_US
dc.relation.ispartofInternational Business Managementen_US
dc.sourceScopus
dc.subjectBootstrapen_US
dc.subjectMCEWMAen_US
dc.subjectShari'ah indexesen_US
dc.subjectSukuken_US
dc.subjectVolatilityen_US
dc.titleForecasting volatility using bootstrap MCEWMA following Sukuk Ijarah issuancesen_US
dc.typeArticleen_US
dspace.entity.typePublication

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