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...

Full description

Bibliographic Details

Main Authors:	Bahaludin, Hafizah, Mohamad, Nurul Najihah, NAZIR, MUHAMMAD FARHAN MOHD NAZIR
Format:	Proceeding Paper
Language:	en en en
Published:	2021
Subjects:	QA Mathematics
Online Access:	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/
Tags:	Add Tag No Tags, Be the first to tag this record!