In:
Journal of Modern Applied Statistical Methods, The Netherlands Press, Vol. 18, No. 1 ( 2020-02-25), p. 2-17
Abstract:
The Dynamic Conditional Correlation GARCH (DCC-GARCH) mutation model is considered using a Monte Carlo approach via Markov chains in the estimation of parameters, time-dependence variation is visually demonstrated. Fifteen indices were analyzed from the main financial markets of developed and developing countries from different continents. The performances of indices are similar, with a joint evolution. Most index returns, especially SPX and NDX, evolve over time with a higher positive correlation.
Type of Medium:
Online Resource
ISSN:
1538-9472
DOI:
10.22237/jmasm/1556669220
Language:
English
Publisher:
The Netherlands Press
Publication Date:
2020
detail.hit.zdb_id:
2120850-5
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