Publication:
Forecasting volatilities of Dow Jones Islamic Market World Index: new evidence form Markov regime switching GARCH
| DC Field | Value | |
|---|---|---|
| dc.contributor.author | Md Ridwan Reza | |
| dc.contributor.supervisor | Ginanjar Dewandaru | |
| dc.date.accessioned | 2019-09-30T10:43:13Z | |
| dc.date.available | 2019-09-30T10:43:13Z | |
| dc.date.issued | 2018 | |
| dc.description.abstract | The study employs different types ofrelatively novel Markov regime switching GARCH (MRS-GARCH) models along with standard GARCH to identify better models to forecast the conditional volatility of Dow Jones Islamic Market World Index (DJIM). Several statistical and risk-management-based loss functions are employed to evaluate the out-of-sample volatility and Value-at-Risk (VaR) forecast from these models. Our empirical results show that although there is no single model - either of standard GARCH and MRS-GARCH type - is consistently outperforming the others if both the statistical and the risk-management loss functions are considered, overall different asymmetric Markov regime switching GARCH models, namely MRS-EGARCH andMRS-GJR-type models, perform better than any single regime GARCH specification. | en_US |
| dc.identifier.citation | Reza, M. R. (2018). Forecasting volatilities of Dow Jones Islamic Market World Index: new evidence form Markov regime switching GARCH (Master dissertation). INCEIF, Kuala Lumpur. Retrieved from https://ikr.inceif.org/handle/INCEIF/3098 | en_US |
| dc.identifier.uri | https://ikr.inceif.org/handle/INCEIF/3098 | |
| dc.language | English | |
| dc.language.iso | eng | en_US |
| dc.publisher | INCEIF | en_US |
| dc.rights | 2018. INCEIF | |
| dc.source | SGPS | |
| dc.subject | Markov regime switching GARCH (MRS-GARCH) | en_US |
| dc.subject | Dow Jones Islamic Market World Index (DJIM) | en_US |
| dc.subject | Project paper (MSc) | |
| dc.title | Forecasting volatilities of Dow Jones Islamic Market World Index: new evidence form Markov regime switching GARCH | en_US |
| dc.type | Master | en_US |
| dlc.maintopic | Islamic capital markets | en_US |
| dspace.entity.type | Publication | |
| ikr.doctype | Theses | |
| ikr.license | Available in physical copy only (Call number: t HG 4551 M478) | |
| ikr.topic.maintopic | Islamic capital markets | en_US |
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