عقدة القبح فی نتاجات یوسف حاییم برینر الادبیة (نماذج مختارة)
Publication Date
Sat Oct 20 2018
Journal Name
Journal Of Economics And Administrative Sciences
Using Multivariate GARCH Models CCC (Constant Conditional Correlation) and DCC(Dynamic Conditional Correlation) To Forecast Iraqi Dinar Exchange Rate in Dollar
نماذجGARCH متعددة المتغيرات
نموذج الارتباط الشرطي الحركي DCC
نموذج الارتباط الشرطي الثابت CCC.
Multivariate GARCH Models
DCC Model
Dynamic Conditional Correlation
CCC Constant Conditional Correlation Model.
Abstract
Multivariate GARCH Models take several forms , the most important DCC dynamic conditional correlation, and CCC constant conditional correlation , The Purpose of this research is the Comparison for both Models.Using three financial time series which is a series of daily Iraqi dinar exchange rate indollar, Global daily Oil price in dollar and Global daily gold price in dollarfor the period from 01/01/2014 till 01/01/2016, Where it has been transferred to the three time series returns to get the Stationarity, some tests were conducted including Ljung-Box , JarqueBera , Multivariate ARCH to Returns Series and Residuals Series for both models In Comparison
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