ABSTRACT
Sukuk has turned out to be one of the most effective Shariah investment instruments in the world because of its structure and viability. This study aims to forecast the MENA Sukuk price for 1, 3, and 6 days ahead of the prediction horizon using the Prophet model. Daily data for Standard and Poor’s (S&P) MENA and Standard and Poor’s (S&P) GCC Sukuk price indices are obtained from their official source (Standard and Poor’s (S&P) Dow Jones indices website) for the period from January 1, 2017 to December 31, 2021. In order to augment the model's precision and prediction power, the study uses the GCC Sukuk price index as a regressor. To assess the model's performance, the study employs three evaluation metrics: RMSE, MAPE, and R 2. The results exhibit the lowest RMSE and MAPE values of 0.0191 and 0.0001, respectively, as well as the highest R 2 score of 0.9999 for a forecast horizon of 1 day. The results are also substantially lower for other predicted horizons. The error assessment measures of the model outperform those of the most recent similar study and other prior similar research. This research will be crucial for everyone, especially finance professionals, seeking to optimize their portfolio allocation and increase their profits, as well as academics seeking to develop more accurate and precise sukuk prediction models.
