Browsing Applied Mathematics and Computational Intelligence (AMCI) by Subject "Asian Shariah indices"
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Comparison of correlation for Asia Shariah indices using DCC-GARCH and rolling window correlation
(Institute of Engineering Mathematics, Universiti Malaysia Perlis, 2021-12)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) ...