Comparison of correlation for Asia shariah indices using DCC-GARCH and rolling window correlation

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...

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Bibliographic Details
Main Authors: Mohd Nazir, Muhammad Farhan, Mohamad, Nurul Najihah, Bahaludin, Hafizah
Format: Article
Language:English
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
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Institution: Universiti Islam Antarabangsa Malaysia
Language: English

Internet

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

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