Selection of Value-at-Risk models for MENA Islamic indices

What is it about?

investigate the performance of Value-at-Risk (VaR) models for nine Middle East and North Africa Islamic indices using RiskMetrics and VaR parametric models.

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Why is it important?

These results will be useful to investors and risk managers operating in Islamic markets, because their success depends on the ability to forecast stock price movements. Therefore, because a few Islamic financial institutions use internal models for their capital calculations, the regulatory committee should enhance market risk disclosure