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Using Multivariate GARCH Models CCC (Constant Conditional Correlation) and DCC(Dynamic Conditional Correlation) To Forecast Iraqi Dinar Exchange Rate in Dollar | ||
| journal of Economics And Administrative Sciences/ University of baghdad | ||
| Article 1, Volume 24, Issue 105, 2018, Pages 514-537 | ||
| Abstract | ||
| 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 with the estimation and forecasting based on criteria ,MAE,MSE , mean absolute error and mean Square error , respectively Compared to the Suitability of these two models of the nature of the data and the ability to Capture the volatility. We concluded that CCC is better than DCC | ||
| Keywords | ||
| Multivariate GARCH Models; DCC Model; Dynamic Conditional Correlation; CCC Constant Conditional Correlation Model; GARCH; DCC; CCC | ||
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