Investigating the Presence of Long Memory in DJIM Index Yield Spreads

• Main Authors: Nursilah, Ahmad,, Sulistya, Rusgianto,
• Format: Conference Paper
• Language: en_US
• Published: Elsevier Science Bv 2015
• Subjects: Sukuk; yield spreads; long memory; ARMA; DJIM
• Online Access: http://ddms.usim.edu.my/handle/123456789/8959

The aim of this study is to investigate the presence of long memory in sukuk yield spreads and forecast the future yield spreads for sukuk. Specifically, the focus is on the yield spread between Dow Jones Islamic Markets Index (DJIM) and the Malaysian Government Investment Issues (GII). The study us...