Monitoring Volatility Point of Sukuk Ijarah Using a Hybrid MCEWMA Control Chart

Abstract

Sukuk Ijarah of Malaysia Airports Capital Berhad is one of Islamic financial instrument issued in Bursa Malaysia. The daily log-return of this dukuk is exmined its statictical characteristic and it is found to be serial correlated. Considering this correlation, volatility point of sukuk Ijarah can be monitored using MCEWMA control chart. Even though the chart is efficient in detecting small shift, it is said to be under influence of biasness and uncertainty estimation. In this research, these problems are solved by proposes a construction of double bootstrap MCEWMA control chart. This proposes chart is used to minitor the volatility points of sukuk Ijarah and also tested it’s its efficiency in detecting small, medium and greater shift magnitude. The test is considered efficiency comparison of standard chart with two different limits, i.e. standard and bootstrapping control limit. For the result, both of standard chart are sensitive to medium shift magnitude but inconsistent when tested for smallest and largest shift. Meanwhile, the double bootstrap MCEWMA chart is found to be more sensitive to all shift magnitude and efficient in detecting the out-of-control point.