Comparison of correlation for Asia 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:	Mohd Nazir, Muhammad Farhan, Mohamad, Nurul Najihah, Bahaludin, Hafizah
Format:	Article
Language:	en
Published:	UniMAP Press 2021
Subjects:	QA Mathematics
Online Access:	http://irep.iium.edu.my/95454/7/95454_Comparison%20of%20correlation%20for%20Asia%20shariah.pdf http://irep.iium.edu.my/95454/ https://drive.google.com/file/d/1XTx3QxqcRmVAnhCuCyVhtB4nXVwtfctz/view
Tags:	Add Tag No Tags, Be the first to tag this record!