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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| Main Authors: | , , |
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| Format: | Conference or Workshop Item |
| Language: | English English English |
| Published: |
2021
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| Subjects: | |
| 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/ |
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| Institution: | Universiti Islam Antarabangsa Malaysia |
| Language: | English English English |