Publicação
Forecasting volatility and value at risk of an Islamic tangency portfolio
| 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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| Autores principais: | Berger, Tim |
| Assunto: | Islamic portfolio Volatility forecasting Backtesting |
| Ano: | 2019 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade Nova de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório Institucional da UNL |
| 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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