Authors : Syazwani Abd Rahim and Nursilah Ahmad
Abstract: The aim of this study is to estimate Sukuk volatility using volatility forecasting model which is: Moving Centerline Exponential Weighted Moving Average (MCEWMA) for the period between 2008 and 2011. This research also aims to estimate the best method to find out the Sukuk volatility by Sukuk Ijarah structure for the period between 2008 and 2011. It is also important to examine the best performance between the real model of MCEWMA and the hybrid model of Bootstrap MCEWMA (BMCEWMA). This study focuses on FTSE Bursa Malaysia Emas Shari’ah Index (FBM EMAS) and FTSE Bursa Malaysia Hijrah Shari’ah Index (FBM Hijrah). The sources of data come from data stream, bloomberg database, securities commission Malaysia and Bursa Malaysia. The results show the hybrid model of Bootstrap MCEWMA is better than the real Model. It concludes that the application of BMCEWMA is better than MCEWMA. The researcher advices policy makers to guide regulators, investors and issuers to the best Sukuk that remained stable during a crisis. This analysis will provide valuable information and guidelines to issuers, policy makers, regulatory bodies and investors to Islamic bonds.
Syazwani Abd Rahim and Nursilah Ahmad, 2015. Forecasting Volatility Using Bootstrap MCEWMA Following Sukuk Ijarah Issuances. International Business Management, 9: 581-589.