An application of GARCH modeling on the Malaysian sukuk spreads

This study explores the influencing factors of the Islamic bond (sukuk) spreads, by employing the generalised autoregressive conditional heteroscedasticity (GARCH) method. Apart from the general GARCH (1,1) model, a higher order of lags for both ARCH and GARCH terms are also considered which is appl...

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Main Authors:	Rahman, Maya Puspa, Omar, Mohd Azmi, Kassim, Salina
Format:	Article
Language:	English
Published:	IIUM Institute of Islamic Banking and Finance, International Islamic University Malaysia 2013
Subjects:	HA154 Statistical data HG Finance
Online Access:	http://irep.iium.edu.my/56597/ http://irep.iium.edu.my/56597/ http://irep.iium.edu.my/56597/1/Application%20of%20GARCH%20Modeling%20on%20Malaysian%20Sukuk%20Spreads.pdf

id	iium-56597
recordtype	eprints
spelling	iium-565972017-05-02T03:41:56Z http://irep.iium.edu.my/56597/ An application of GARCH modeling on the Malaysian sukuk spreads Rahman, Maya Puspa Omar, Mohd Azmi Kassim, Salina HA154 Statistical data HG Finance This study explores the influencing factors of the Islamic bond (sukuk) spreads, by employing the generalised autoregressive conditional heteroscedasticity (GARCH) method. Apart from the general GARCH (1,1) model, a higher order of lags for both ARCH and GARCH terms are also considered which is applied onto both the investment and non-investment grade sukuk. This study is among the first few to document the empirical evidence on sukuk spreads and its volatility which is expected to further enrich the empirical literature of the financial markets especially in the Islamic finance. This is in line with the pressing demand for more in-depth information on various dimensions of the sukuk market given the importance of the sukuk in the global capital market. This study contributes significantly to the benefit of the investors, portfolio managers as well as regulators to better understand the underlying factors influencing the pricing and risk management of sukuk instruments. In addition, the assessment on the impact of the recent global financial crisis allows for a thorough understanding on the behavior of sukuk spreads so as to pre-empt the impact of future financial shocks to the sukuk market. IIUM Institute of Islamic Banking and Finance, International Islamic University Malaysia 2013 Article PeerReviewed application/pdf en http://irep.iium.edu.my/56597/1/Application%20of%20GARCH%20Modeling%20on%20Malaysian%20Sukuk%20Spreads.pdf Rahman, Maya Puspa and Omar, Mohd Azmi and Kassim, Salina (2013) An application of GARCH modeling on the Malaysian sukuk spreads. Journal of Islamic Finance, 2 (2). pp. 26-37. ISSN 2289-2109 E-ISSN 2289-2117 http://journals.iium.edu.my/iiibf-journal/index.php/jif/article/view/18/13
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English
topic	HA154 Statistical data HG Finance
spellingShingle	HA154 Statistical data HG Finance Rahman, Maya Puspa Omar, Mohd Azmi Kassim, Salina An application of GARCH modeling on the Malaysian sukuk spreads
description	This study explores the influencing factors of the Islamic bond (sukuk) spreads, by employing the generalised autoregressive conditional heteroscedasticity (GARCH) method. Apart from the general GARCH (1,1) model, a higher order of lags for both ARCH and GARCH terms are also considered which is applied onto both the investment and non-investment grade sukuk. This study is among the first few to document the empirical evidence on sukuk spreads and its volatility which is expected to further enrich the empirical literature of the financial markets especially in the Islamic finance. This is in line with the pressing demand for more in-depth information on various dimensions of the sukuk market given the importance of the sukuk in the global capital market. This study contributes significantly to the benefit of the investors, portfolio managers as well as regulators to better understand the underlying factors influencing the pricing and risk management of sukuk instruments. In addition, the assessment on the impact of the recent global financial crisis allows for a thorough understanding on the behavior of sukuk spreads so as to pre-empt the impact of future financial shocks to the sukuk market.
format	Article
author	Rahman, Maya Puspa Omar, Mohd Azmi Kassim, Salina
author_facet	Rahman, Maya Puspa Omar, Mohd Azmi Kassim, Salina
author_sort	Rahman, Maya Puspa
title	An application of GARCH modeling on the Malaysian sukuk spreads
title_short	An application of GARCH modeling on the Malaysian sukuk spreads
title_full	An application of GARCH modeling on the Malaysian sukuk spreads
title_fullStr	An application of GARCH modeling on the Malaysian sukuk spreads
title_full_unstemmed	An application of GARCH modeling on the Malaysian sukuk spreads
title_sort	application of garch modeling on the malaysian sukuk spreads
publisher	IIUM Institute of Islamic Banking and Finance, International Islamic University Malaysia
publishDate	2013
url	http://irep.iium.edu.my/56597/ http://irep.iium.edu.my/56597/ http://irep.iium.edu.my/56597/1/Application%20of%20GARCH%20Modeling%20on%20Malaysian%20Sukuk%20Spreads.pdf
first_indexed	2023-09-18T21:19:52Z
last_indexed	2023-09-18T21:19:52Z
_version_	1777411809330855936

An application of GARCH modeling on the Malaysian sukuk spreads

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