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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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
UniMAP Press
2021
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| Subjects: | |
| 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 |