Publicação
Forecasting volatility and value at risk of an Islamic tangency portfolio
| datacite.subject.fos | Ciências Sociais::Economia e Gestão | pt_PT |
| dc.contributor.advisor | Boons, Martijn | |
| dc.contributor.author | Berger, Tim | |
| dc.date.accessioned | 2019-06-24T13:35:48Z | |
| dc.date.available | 2019-06-24T13:35:48Z | |
| dc.date.issued | 2019-01-14 | |
| dc.description.abstract | 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. | pt_PT |
| dc.identifier.tid | 202226441 | pt_PT |
| dc.identifier.uri | http://hdl.handle.net/10362/73490 | |
| dc.language.iso | eng | pt_PT |
| dc.subject | Islamic portfolio | pt_PT |
| dc.subject | Volatility forecasting | pt_PT |
| dc.subject | Backtesting | pt_PT |
| dc.title | Forecasting volatility and value at risk of an Islamic tangency portfolio | pt_PT |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | masterThesis | pt_PT |
| thesis.degree.name | A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics | pt_PT |