Modelling of moving Centerline Exponentially Weighted Moving Average (MCEWMA) with bootstrap approach: Case study on sukuk Musyarakah of Rantau Abang Capital Berhad, Malaysia

Abstract

Sukuk Musyarakah is known as a debt instrument of Islamic securities which currently issued in Bursa Malaysia. The uniqueness of this sukuk is a pre-agreed price between Musyarakah partners will be equivalently to the face value of sukuk, if only the sukuk yield no profit. In terms of returns, this sukuk complies with nature of Syariah-compliant securities, where the fixed return and the element of interest are prohibited. Similar to conventional securities, the non-fixed returns usually autocorrelated and categorised as a dependent data. This kind of special data has been getting more attention whether in financial fields or statistical fields. Unfortunately, the research related to monitoring autocorrelated data of sukuk seems lack of attention compared to conventional securities. Thus, in this study an application of Moving Centerline Exponentially Weighted Moving Average (MCEWMA) chart is used to monitor autocorrelated returns of sukuk Musyarakah. In Statistical Control Chart, the chart has given extensive research on monitoring volatility of security investment. However, an internal issue of MCEWMA chart detected where it is influenced by inaccurate estimation whether on base model or the limits itself, due to large error and high probability of signalling out-of-control process for false alarm. In order to solve this problem, a bootstrap approach is hybridised into the based MCEWMA model. The objectives of this approach are to reduce error value of base model using sampling with replacement method and introduce a new modelling of Bootstrap MCEWMA chart