Boons, MartijnBerger, Tim2019-06-242019-06-242019-01-14http://hdl.handle.net/10362/73490Academic 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.engIslamic portfolioVolatility forecastingBacktestingmaster thesis202226441