Ng, Sew Lai and Chin, Wen Cheong and Chong, Lee Lee and Ng, Kok Why (2025) Forecasting the Realized Volatility of Islamic Equities using Multivariate Har-Type Models. International Journal of Banking and Finance (IJBF), 20 (1). pp. 39-67. ISSN 2590-423X
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Abstract
This study proposes nine multivariate intraday models using various realized variation measures with the aim to improve volatility forecasting in the Islamic stock market in Malaysia using a dataset from 1st April 2008 to 31st March 2018. The findings show that considering independently the jump-robust realized volatility, additional daily jump realized volatility, and continuous and discontinuous jump sample path variations improved the in-sample predictive regressions compared to using the standard realized volatility. For the out-of-sample volatility forecasts evaluation, it is observed that the volatility models that disentangled the realized volatility into its continuous and discontinuous jump components have outperformed the rest of the proposed models. This is because both the continuous and discontinuous variation of returns exhibit distinctive substantial information in yielding the final volatility dynamic and thus should be modeled disjointedly. However, the empirical results suggest that the simple autoregressive specification using the standard realized volatility is often performing better or as well as the new extension models. Lastly, this study may provide useful insight in portfolio management, risk assessment, and asset pricing, particularly in the Shariah-compliant equities
| Item Type: | Article |
|---|---|
| Additional Information: | C32, C58, G1 |
| Uncontrolled Keywords: | Realized volatility, volatility forecasting, multivariate heterogeneous autoregressive model, Islamic stock markets |
| Subjects: | H Social Sciences > HB Economic Theory |
| Divisions: | School of Economics, Finance & Banking |
| Depositing User: | Mdm. Rozana Zakaria |
| Date Deposited: | 14 Oct 2025 08:43 |
| Last Modified: | 14 Oct 2025 08:43 |
| URI: | https://repo.uum.edu.my/id/eprint/32497 |
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