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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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書目詳細資料
Main Authors:	Bahaludin, Hafizah, Mohamad, Nurul Najihah, NAZIR, MUHAMMAD FARHAN MOHD NAZIR
格式:	Conference or Workshop Item
語言:	English English English
出版:	2021
主題:	QA Mathematics
在線閱讀:	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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