The purpose of this study is to investigate the performance of Value-at-Risk (VaR) models for nine Middle East and North Africa Islamic indices using RiskMetrics and VaR parametric models.,The authors test the performance of several VaR models using Kupiec and Engle and Manganelli tests at 95 and 99 per cent levels for long and short trading positions, respectively, for the period from August 10, 2006 to December 14, 2014.,The authors’ findings show that the VaR under Student and skewed Student distribution are preferred at a 99 per cent level VaR. However, at 95 per cent level, the VaR forecasts obtained under normal distribution are more accurate than those generated using models with fat-tailed distributions. These results suggest that VaR is a good tool for measuring market risk. The authors support the use of RiskMetrics during calm periods and the asymmetric models (Generalized Autoregressive Conditional Heteroskedastic and the Asymmetric Power ARCH model) during stressed periods.,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.,This study contributes to the knowledge in this area by improving our understanding of market risk management for Islamic assets during the stress periods. Then, it highlights important implications regarding financial risk management. Finally, this study fills a gap in the literature, as most empirical studies dealing with evaluating VaR prediction models have focused on quantifying the model risk in the conventional market.

中文翻译：

---

选择中东和北非伊斯兰指数的风险值模型

本研究的目的是使用RiskMetrics和VaR参数模型研究九种中东和北非伊斯兰指数的风险价值（VaR）模型的性能。作者使用Kupiec和Engle测试了几种VaR模型的性能在2006年8月10日至2014年12月14日期间，多头和空头头寸分别以95％和99％的水平对多头和空头头寸进行了测试。作者的研究结果表明，学生和偏斜学生分配下的VaR是首选VaR为99％。但是，在95％的水平上，在正态分布下获得的VaR预测比使用具有胖尾分布的模型所生成的VaR预测更为准确。这些结果表明，VaR是衡量市场风险的良好工具。作者支持在平静时期使用RiskMetrics，并在压力时期使用不对称模型（广义自回归条件异方差和不对称幂ARCH模型）。这些结果对于在伊斯兰市场开展业务的投资者和风险管理者很有用，因为它们的成功取决于预测股价走势的能力。因此，由于少数伊斯兰金融机构使用内部模型进行资本计算，因此监管委员会应加强市场风险的披露。本研究通过增进我们在压力时期对伊斯兰资产的市场风险管理的了解，为该领域的知识做出了贡献。 。然后，它突出了有关财务风险管理的重要含义。最后，这项研究填补了文献中的空白，