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

Link to publisher's homepage at https://amci.unimap.edu.my/

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Main Authors: F. Nazir, N. N. Mohamad, H. Bahaludin
Other Authors: hafizahbahaludin@iium.edu.my
Format: Article
Language:English
Published: Institute of Engineering Mathematics, Universiti Malaysia Perlis 2022
Subjects:
DCC-GARCH
Rolling window correlation
Asian Shariah indices
Online Access:http://dspace.unimap.edu.my:80/xmlui/handle/123456789/74203
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spelling my.unimap-742032022-02-16T06:05:34Z Comparison of correlation for Asia Shariah indices using DCC-GARCH and rolling window correlation F. Nazir N. N. Mohamad H. Bahaludin hafizahbahaludin@iium.edu.my DCC-GARCH Rolling window correlation Asian Shariah indices Link to publisher's homepage at https://amci.unimap.edu.my/ 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 conditional correlation between the Asian Shariah indices. The Asian Shariah index comprises FTSE SGX Asia Shariah 100, FTSE Bursa Malaysia Emas Shariah Index, FTSE Greater China Shariah Index, and FTSE Stock Exchange of Thailand (SET) Shariah Index. The correlation estimation considers the FTSE SGX Asia Shariah 100 as a proxy. On the 11th of March 2020, The World Health Organization (WHO) has announced the Coronavirus 2019 (COVID-19) as pandemic. Therefore, the data used covers six months before and after 11th March 2020, from 11th September 2019 until 11th September 2020. The output of both effected correlations towards the Covid-19 will be evaluated based on their ability to capture the time-varying changes through graph plotting. The empirical findings show that the DCC-GARCH is better at capturing the highly changes volatility than the rolling window correlation. 2022-02-16T06:05:34Z 2022-02-16T06:05:34Z 2021-12 Article Applied Mathematics and Computational Intelligence (AMCI), vol.10(1), 2021, pages 203-219 2289-1315 (print) 2289-1323 (online) http://dspace.unimap.edu.my:80/xmlui/handle/123456789/74203 https://amci.unimap.edu.my/ en Institute of Engineering Mathematics, Universiti Malaysia Perlis
institution Universiti Malaysia Perlis
building UniMAP Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaysia Perlis
content_source UniMAP Library Digital Repository
url_provider http://dspace.unimap.edu.my/
language English
topic DCC-GARCH
Rolling window correlation
Asian Shariah indices
spellingShingle DCC-GARCH
Rolling window correlation
Asian Shariah indices
F. Nazir
N. N. Mohamad
H. Bahaludin
Comparison of correlation for Asia Shariah indices using DCC-GARCH and rolling window correlation
description Link to publisher's homepage at https://amci.unimap.edu.my/
author2 hafizahbahaludin@iium.edu.my
author_facet hafizahbahaludin@iium.edu.my
F. Nazir
N. N. Mohamad
H. Bahaludin
format Article
author F. Nazir
N. N. Mohamad
H. Bahaludin
author_sort F. Nazir
title Comparison of correlation for Asia Shariah indices using DCC-GARCH and rolling window correlation
title_short Comparison of correlation for Asia Shariah indices using DCC-GARCH and rolling window correlation
title_full Comparison of correlation for Asia Shariah indices using DCC-GARCH and rolling window correlation
title_fullStr Comparison of correlation for Asia Shariah indices using DCC-GARCH and rolling window correlation
title_full_unstemmed Comparison of correlation for Asia Shariah indices using DCC-GARCH and rolling window correlation
title_sort comparison of correlation for asia shariah indices using dcc-garch and rolling window correlation
publisher Institute of Engineering Mathematics, Universiti Malaysia Perlis
publishDate 2022
url http://dspace.unimap.edu.my:80/xmlui/handle/123456789/74203
_version_ 1729704740004036608
score 13.214268

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