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313359

Using Multivariate Dynamic Conditional Correlation GARCH model to analysis financial market data

Article

Last updated: 04 Jan 2025

Subjects

-

Tags

الاحصاء والرياضة والتأمين

Abstract

In financial markets, understanding the dynamic relationships between assets is crucial for effective portfolio management. This study highlights the importance of using the DCC-GARCH (Dynamic Conditional Correlation - Generalized Autoregressive Conditional Heteroskedasticity) model as a powerful multivariate analysis tool to capture the dynamic correlations between the S&P 500, Crude Oil Price, Natural Gas Price, and Gold Price. The DCC-GARCH model provides a flexible framework for modeling time-varying correlations, allowing investors to account for the changing relationships between assets over time. The study estimates the correlations and forecasts their evolution over the next 365 days, providing valuable insights for portfolio optimization and risk management. The results demonstrate the potential diversification benefits offered by these assets and emphasize the need for adaptive portfolio management based on the dynamic correlations. By employing the DCC-GARCH model, investors can better understand the complex interactions between assets and make more informed decisions about asset allocation, ultimately leading to improved risk-adjusted returns. This study underscores the significance of incorporating advanced multivariate techniques, such as DCC-GARCH, in financial analysis and portfolio management.

DOI

10.21608/zcom.2023.213791.1258

Keywords

Quasi likelihood, asset interactions, Financial Markets, Multivariate DCC-GARCH, dynamic correlations asset interactions

Authors

First Name

Fatma

Last Name

Alshenawy

MiddleName

-

Affiliation

Mansoura- Egypt

Email

felshinawy@gmail.com

City

-

Orcid

0000000277651616

First Name

Doaa A.

Last Name

Abdo

MiddleName

-

Affiliation

كلية التجارة -جامعة المنصورة

Email

doaaashour@mans.edu.eg

City

-

Orcid

0000-0003-1223-6056

Volume

45

Article Issue

4

Related Issue

44065

Issue Date

2023-10-01

Receive Date

2023-05-28

Publish Date

2023-10-01

Page Start

34

Page End

64

Print ISSN

1110-7731

Online ISSN

2735-4512

Link

https://zcom.journals.ekb.eg/article_313359.html

Detail API

https://zcom.journals.ekb.eg/service?article_code=313359

Order

29

Type

تجاریة کل ما یتعلق بالعلوم التجاریة

Type Code

1,572

Publication Type

Journal

Publication Title

مجلة البحوث التجارية

Publication Link

https://zcom.journals.ekb.eg/

MainTitle

Using Multivariate Dynamic Conditional Correlation GARCH model to analysis financial market data

Details

Type

Article

Created At

27 Dec 2024