Cover Image

Modeling and forecasting the volatility of Islamic unit trust in Malaysia using GARCH model

Due to the tremendous growth of Islamic unit trust in Malaysia since it was first introduced on 12th of January 1993 through the fund named Tabung Ittikal managed by Arab-Malaysian Securities, vast studies have been done to evaluate the performance of Islamic unit trust offered in Malaysia's ca...

Full description

Saved in:
Bibliographic Details
Main Authors: Ismail, N., Ismail, M.T., Karim, S.A.A., Hamzah, F.M.
Format: Conference or Workshop Item
Published: American Institute of Physics Inc. 2015
Online Access:https://www.scopus.com/inward/record.uri?eid=2-s2.0-84984540687&doi=10.1063%2f1.4932500&partnerID=40&md5=17b36a52be98ef5cbcf1bb858f96038b
http://eprints.utp.edu.my/31651/
Tags: Add Tag
No Tags, Be the first to tag this record!
id my.utp.eprints.31651
record_format eprints
spelling my.utp.eprints.316512022-03-26T03:24:53Z Modeling and forecasting the volatility of Islamic unit trust in Malaysia using GARCH model Ismail, N. Ismail, M.T. Karim, S.A.A. Hamzah, F.M. Due to the tremendous growth of Islamic unit trust in Malaysia since it was first introduced on 12th of January 1993 through the fund named Tabung Ittikal managed by Arab-Malaysian Securities, vast studies have been done to evaluate the performance of Islamic unit trust offered in Malaysia's capital market. Most of the studies found that one of the factors that affect the performance of the fund is the volatility level. Higher volatility produces better performance of the fund. Thus, we believe that a strategy must be set up by the fund managers in order for the fund to perform better. By using a series of net asset value (NAV) data of three different types of fund namely CIMB-IDEGF, CIMB-IBGF and CIMB-ISF from a fund management company named CIMB Principal Asset Management Berhad over a six years period from 1st January 2008 until 31st December 2013, we model and forecast the volatility of these Islamic unit trusts. The study found that the best fitting models for CIMB-IDEGF, CIMB-IBGF and CIMB-ISF are ARCH(4), GARCH(3,3) and GARCH(3,1) respectively. Meanwhile, the fund that is expected to be the least volatile is CIMB-IDEGF and the fund that is expected to be the most volatile is CIMB-IBGF. © 2015 AIP Publishing LLC. American Institute of Physics Inc. 2015 Conference or Workshop Item NonPeerReviewed https://www.scopus.com/inward/record.uri?eid=2-s2.0-84984540687&doi=10.1063%2f1.4932500&partnerID=40&md5=17b36a52be98ef5cbcf1bb858f96038b Ismail, N. and Ismail, M.T. and Karim, S.A.A. and Hamzah, F.M. (2015) Modeling and forecasting the volatility of Islamic unit trust in Malaysia using GARCH model. In: UNSPECIFIED. http://eprints.utp.edu.my/31651/
institution Universiti Teknologi Petronas
building UTP Resource Centre
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Teknologi Petronas
content_source UTP Institutional Repository
url_provider http://eprints.utp.edu.my/
description Due to the tremendous growth of Islamic unit trust in Malaysia since it was first introduced on 12th of January 1993 through the fund named Tabung Ittikal managed by Arab-Malaysian Securities, vast studies have been done to evaluate the performance of Islamic unit trust offered in Malaysia's capital market. Most of the studies found that one of the factors that affect the performance of the fund is the volatility level. Higher volatility produces better performance of the fund. Thus, we believe that a strategy must be set up by the fund managers in order for the fund to perform better. By using a series of net asset value (NAV) data of three different types of fund namely CIMB-IDEGF, CIMB-IBGF and CIMB-ISF from a fund management company named CIMB Principal Asset Management Berhad over a six years period from 1st January 2008 until 31st December 2013, we model and forecast the volatility of these Islamic unit trusts. The study found that the best fitting models for CIMB-IDEGF, CIMB-IBGF and CIMB-ISF are ARCH(4), GARCH(3,3) and GARCH(3,1) respectively. Meanwhile, the fund that is expected to be the least volatile is CIMB-IDEGF and the fund that is expected to be the most volatile is CIMB-IBGF. © 2015 AIP Publishing LLC.
format Conference or Workshop Item
author Ismail, N.
Ismail, M.T.
Karim, S.A.A.
Hamzah, F.M.
spellingShingle Ismail, N.
Ismail, M.T.
Karim, S.A.A.
Hamzah, F.M.
Modeling and forecasting the volatility of Islamic unit trust in Malaysia using GARCH model
author_facet Ismail, N.
Ismail, M.T.
Karim, S.A.A.
Hamzah, F.M.
author_sort Ismail, N.
title Modeling and forecasting the volatility of Islamic unit trust in Malaysia using GARCH model
title_short Modeling and forecasting the volatility of Islamic unit trust in Malaysia using GARCH model
title_full Modeling and forecasting the volatility of Islamic unit trust in Malaysia using GARCH model
title_fullStr Modeling and forecasting the volatility of Islamic unit trust in Malaysia using GARCH model
title_full_unstemmed Modeling and forecasting the volatility of Islamic unit trust in Malaysia using GARCH model
title_sort modeling and forecasting the volatility of islamic unit trust in malaysia using garch model
publisher American Institute of Physics Inc.
publishDate 2015
url https://www.scopus.com/inward/record.uri?eid=2-s2.0-84984540687&doi=10.1063%2f1.4932500&partnerID=40&md5=17b36a52be98ef5cbcf1bb858f96038b
http://eprints.utp.edu.my/31651/
_version_ 1738657277356802048
score 13.211869

Similar Items