摘要：The S&P/OIC COMCEC 50 Sharia index is a joint index created by the organization of the Islamic conference (OIC) member states' stock exchanges forum and S&P indices. It is a Sharia-compliant benchmark of the 50 leading companies from OIC-members. In Islamic finance, the portfolio manager ( mudharib ) is committed to use advanced models and reliable tools, according to the safety-first rule of investing ( hifdh almal) Sharia rule . We suggest, based on the empirical properties of the daily data, three approaches for catching the fat tails of the S&P/OIC COMCEC 50, using a two-step process: (1) the time-series model, to explain the clustering of volatility and (2) the heavy-tailed model for the filtered residuals. We show how the use of the stable distributions achieves a great amelioration of the modelling of the S&P/OIC COMCEC 50, considering the different statistical tests and in terms of the assessment of the value of tail risk. Previous article in issue Next article in issue.
关键词：Islamic stock index; Tail risk; Stable and tempered stable distributions
