STUDY OF CORRELATION BETWEEN VOLATILITY OF STOCK, EXCHANGE AND GOLD COIN MARKETS IN IRAN WITH DCC-GARCH MODEL

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FALLAHI FIROUZ; HAGHIGHAT JAFAR; SANOUBAR NASER; JAHANGIRI KHALIL

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Journal: ECONOMIC RESEARCH REVIEW Year:2014 | Volume:14 | Issue:52 Page(s): 123-147

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Title

STUDY OF CORRELATION BETWEEN VOLATILITY OF STOCK, EXCHANGE AND GOLD COIN MARKETS IN IRAN WITH DCC-GARCH MODEL

Author(s)

FALLAHI FIROUZ | HAGHIGHAT JAFAR | SANOUBAR NASER | JAHANGIRI KHALIL | Issue Writer Certificate

Keywords

DYNAMIC CORRELATIONQ1

STOCK MARKETQ2

EXCHANGE RATEQ2

GOLD COINQ1

OPTIMAL PORTFOLIOQ1

Abstract

The aim of this paper is to investigate the behavior of stock, exchange and GOLD COIN markets and their correlations structure by using the DCC-GARCH model and the daily data for the period from 23 July 2011 to 22 September 2013 in Iran. Results show that there is a high correlation between returns of EXCHANGE RATE and GOLD COIN. But the correlation between returns of STOCK MARKET index and EXCHANGE RATE or GOLD COIN is low. Policy implications on portfolio strategies under DCC model results are also discussed.

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APA: Copy

FALLAHI, FIROUZ, HAGHIGHAT, JAFAR, SANOUBAR, NASER, & JAHANGIRI, KHALIL. (2014). STUDY OF CORRELATION BETWEEN VOLATILITY OF STOCK, EXCHANGE AND GOLD COIN MARKETS IN IRAN WITH DCC-GARCH MODEL. ECONOMIC RESEARCH REVIEW, 14(52), 123-147. SID. https://sid.ir/paper/67151/en

Vancouver: Copy

FALLAHI FIROUZ, HAGHIGHAT JAFAR, SANOUBAR NASER, JAHANGIRI KHALIL. STUDY OF CORRELATION BETWEEN VOLATILITY OF STOCK, EXCHANGE AND GOLD COIN MARKETS IN IRAN WITH DCC-GARCH MODEL. ECONOMIC RESEARCH REVIEW[Internet]. 2014;14(52):123-147. Available from: https://sid.ir/paper/67151/en

IEEE: Copy

FIROUZ FALLAHI, JAFAR HAGHIGHAT, NASER SANOUBAR, and KHALIL JAHANGIRI, “STUDY OF CORRELATION BETWEEN VOLATILITY OF STOCK, EXCHANGE AND GOLD COIN MARKETS IN IRAN WITH DCC-GARCH MODEL,” ECONOMIC RESEARCH REVIEW, vol. 14, no. 52, pp. 123–147, 2014, [Online]. Available: https://sid.ir/paper/67151/en

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