ABSTRACT
This paper presents the comparative study of VaR values based on two perspectives. First, to compare VaR calculations between one year and five year observation period and secondly to evaluate VaR estimates based on two confidence level; 95% and 99%. The sample period is from November 24, 2000 until November 23, 2005. The procedure is based on a full valuation approach specifically the historical simulation. Underlying dataset concentrates on the syariah-based firms traded in the Malaysian stock exchange. Despite several caveats, based on the analysis the overall results illustrate the important roles of the length of the observation period and the confidence level in determining the VaR values.
Keywords: Value-at-Risk, historical simulation, holding period, confidence level
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