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.
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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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