Forecasting volatility and value at risk of an Islamic tangency portfolio

Detalhes bibliográficos
Autor(a) principal: Berger, Tim
Data de Publicação: 2019
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/73490
Resumo: Academic literature arrives at diverse conclusions about the volatility forecasting accuracy of GARCH and EWMA models. Most studies analyse conventional equities, not focusing on shariah-compliant investing and the Islamic community. In this study, GARCH and EWMA models under different distributional assumptions were used to evaluate the one-step-ahead volatility and VaR forecasting accuracy for an Islamic Tangency Portfolio. Analysis confirms findings by Ding & Meade(2010) and shows that EWMA also outperforms GARCH(1,1) models for a sharia-compliant portfolio under short selling restrictions, while indicating the lowest failure rate of actual losses exceeding predicted VaR estimates.
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spelling Forecasting volatility and value at risk of an Islamic tangency portfolioIslamic portfolioVolatility forecastingBacktestingDomínio/Área Científica::Ciências Sociais::Economia e GestãoAcademic literature arrives at diverse conclusions about the volatility forecasting accuracy of GARCH and EWMA models. Most studies analyse conventional equities, not focusing on shariah-compliant investing and the Islamic community. In this study, GARCH and EWMA models under different distributional assumptions were used to evaluate the one-step-ahead volatility and VaR forecasting accuracy for an Islamic Tangency Portfolio. Analysis confirms findings by Ding & Meade(2010) and shows that EWMA also outperforms GARCH(1,1) models for a sharia-compliant portfolio under short selling restrictions, while indicating the lowest failure rate of actual losses exceeding predicted VaR estimates.Boons, MartijnRUNBerger, Tim2019-06-24T13:35:48Z2019-01-142019-01-14T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/73490TID:202226441enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T04:34:00Zoai:run.unl.pt:10362/73490Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:35:20.006290Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Forecasting volatility and value at risk of an Islamic tangency portfolio
title Forecasting volatility and value at risk of an Islamic tangency portfolio
spellingShingle Forecasting volatility and value at risk of an Islamic tangency portfolio
Berger, Tim
Islamic portfolio
Volatility forecasting
Backtesting
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Forecasting volatility and value at risk of an Islamic tangency portfolio
title_full Forecasting volatility and value at risk of an Islamic tangency portfolio
title_fullStr Forecasting volatility and value at risk of an Islamic tangency portfolio
title_full_unstemmed Forecasting volatility and value at risk of an Islamic tangency portfolio
title_sort Forecasting volatility and value at risk of an Islamic tangency portfolio
author Berger, Tim
author_facet Berger, Tim
author_role author
dc.contributor.none.fl_str_mv Boons, Martijn
RUN
dc.contributor.author.fl_str_mv Berger, Tim
dc.subject.por.fl_str_mv Islamic portfolio
Volatility forecasting
Backtesting
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Islamic portfolio
Volatility forecasting
Backtesting
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description Academic literature arrives at diverse conclusions about the volatility forecasting accuracy of GARCH and EWMA models. Most studies analyse conventional equities, not focusing on shariah-compliant investing and the Islamic community. In this study, GARCH and EWMA models under different distributional assumptions were used to evaluate the one-step-ahead volatility and VaR forecasting accuracy for an Islamic Tangency Portfolio. Analysis confirms findings by Ding & Meade(2010) and shows that EWMA also outperforms GARCH(1,1) models for a sharia-compliant portfolio under short selling restrictions, while indicating the lowest failure rate of actual losses exceeding predicted VaR estimates.
publishDate 2019
dc.date.none.fl_str_mv 2019-06-24T13:35:48Z
2019-01-14
2019-01-14T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/73490
TID:202226441
url http://hdl.handle.net/10362/73490
identifier_str_mv TID:202226441
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
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instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
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repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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