صورة الغلاف

Comparison of Correlation for Asian Shariah Indices Using DCC-GARCH and Rolling Window Correlation.

This paper aims to compare the capability of correlation in capturing the volatility using rolling window correlation and Dynamic Conditional Correlation - Generalized Autoregressive Conditional Heteroscedasticity (DCC-GARCH) approach. This study will perform a DCC-GARCH to estimate the dynamic cond...

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محفوظ في:
التفاصيل البيبلوغرافية
المؤلفون الرئيسيون: Bahaludin, Hafizah, Mohamad, Nurul Najihah, NAZIR, MUHAMMAD FARHAN MOHD NAZIR
التنسيق: Conference or Workshop Item
اللغة:English
English
English
منشور في: 2021
الموضوعات:
QA Mathematics
الوصول للمادة أونلاين:http://irep.iium.edu.my/92241/7/Abstract%20Acceptance%20Letter%20S223.pdf
http://irep.iium.edu.my/92241/8/SKSM28_CamReady_223.pdf
http://irep.iium.edu.my/92241/9/Buku%20Program%20SKSM%2028.pdf
http://irep.iium.edu.my/92241/
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spelling my.iium.irep.922412021-10-15T01:42:34Z http://irep.iium.edu.my/92241/ Comparison of Correlation for Asian Shariah Indices Using DCC-GARCH and Rolling Window Correlation. Bahaludin, Hafizah Mohamad, Nurul Najihah NAZIR, MUHAMMAD FARHAN MOHD NAZIR QA Mathematics This paper aims to compare the capability of correlation in capturing the volatility using rolling window correlation and Dynamic Conditional Correlation - Generalized Autoregressive Conditional Heteroscedasticity (DCC-GARCH) approach. This study will perform a DCC-GARCH to estimate the dynamic conditional correlation between the Asian Shariah indices. The Asian Shariah index comprises FTSE SGX Asia Shariah 100, FTSE Bursa Malaysia Emas Shariah Index, FTSE Greater China Shariah Index, and FTSE Stock Exchange of Thailand (SET) Shariah Index. The correlation estimation considers the FTSE SGX Asia Shariah 100 as a proxy. The World Health Organization (WHO) declared the Coronavirus 2019 (COVID-19) as pandemic on 11th March 2020. Therefore, the data used covers six months before and after 11th March 2020, from 11th September 2019 until 11th September 2020. The output of both effected correlations towards the Covid-19 will be evaluated based on their ability to capture the time-varying changes through graph plotting. The empirical findings show that the DCC-GARCH is better at capturing the highly changes volatility than the rolling window correlation. 2021 Conference or Workshop Item PeerReviewed application/pdf en http://irep.iium.edu.my/92241/7/Abstract%20Acceptance%20Letter%20S223.pdf application/pdf en http://irep.iium.edu.my/92241/8/SKSM28_CamReady_223.pdf application/pdf en http://irep.iium.edu.my/92241/9/Buku%20Program%20SKSM%2028.pdf Bahaludin, Hafizah and Mohamad, Nurul Najihah and NAZIR, MUHAMMAD FARHAN MOHD NAZIR (2021) Comparison of Correlation for Asian Shariah Indices Using DCC-GARCH and Rolling Window Correlation. In: Simposium Kebangsaan Sains Matematik ke-28 (SKSM28), Kuantan, Pahang, Malaysia. (Unpublished)
institution Universiti Islam Antarabangsa Malaysia
building IIUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider International Islamic University Malaysia
content_source IIUM Repository (IREP)
url_provider http://irep.iium.edu.my/
language English
English
English
topic QA Mathematics
spellingShingle QA Mathematics
Bahaludin, Hafizah
Mohamad, Nurul Najihah
NAZIR, MUHAMMAD FARHAN MOHD NAZIR
Comparison of Correlation for Asian Shariah Indices Using DCC-GARCH and Rolling Window Correlation.
description This paper aims to compare the capability of correlation in capturing the volatility using rolling window correlation and Dynamic Conditional Correlation - Generalized Autoregressive Conditional Heteroscedasticity (DCC-GARCH) approach. This study will perform a DCC-GARCH to estimate the dynamic conditional correlation between the Asian Shariah indices. The Asian Shariah index comprises FTSE SGX Asia Shariah 100, FTSE Bursa Malaysia Emas Shariah Index, FTSE Greater China Shariah Index, and FTSE Stock Exchange of Thailand (SET) Shariah Index. The correlation estimation considers the FTSE SGX Asia Shariah 100 as a proxy. The World Health Organization (WHO) declared the Coronavirus 2019 (COVID-19) as pandemic on 11th March 2020. Therefore, the data used covers six months before and after 11th March 2020, from 11th September 2019 until 11th September 2020. The output of both effected correlations towards the Covid-19 will be evaluated based on their ability to capture the time-varying changes through graph plotting. The empirical findings show that the DCC-GARCH is better at capturing the highly changes volatility than the rolling window correlation.
format Conference or Workshop Item
author Bahaludin, Hafizah
Mohamad, Nurul Najihah
NAZIR, MUHAMMAD FARHAN MOHD NAZIR
author_facet Bahaludin, Hafizah
Mohamad, Nurul Najihah
NAZIR, MUHAMMAD FARHAN MOHD NAZIR
author_sort Bahaludin, Hafizah
title Comparison of Correlation for Asian Shariah Indices Using DCC-GARCH and Rolling Window Correlation.
title_short Comparison of Correlation for Asian Shariah Indices Using DCC-GARCH and Rolling Window Correlation.
title_full Comparison of Correlation for Asian Shariah Indices Using DCC-GARCH and Rolling Window Correlation.
title_fullStr Comparison of Correlation for Asian Shariah Indices Using DCC-GARCH and Rolling Window Correlation.
title_full_unstemmed Comparison of Correlation for Asian Shariah Indices Using DCC-GARCH and Rolling Window Correlation.
title_sort comparison of correlation for asian shariah indices using dcc-garch and rolling window correlation.
publishDate 2021
url http://irep.iium.edu.my/92241/7/Abstract%20Acceptance%20Letter%20S223.pdf
http://irep.iium.edu.my/92241/8/SKSM28_CamReady_223.pdf
http://irep.iium.edu.my/92241/9/Buku%20Program%20SKSM%2028.pdf
http://irep.iium.edu.my/92241/
_version_ 1715189382083772416
score 13.251813

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