Using Multivariate GARCH Models CCC (Constant Conditional Correlation) and DCC(Dynamic Conditional Correlation) To Forecast Iraqi Dinar Exchange Rate in Dollar

  • فارس طاهر حسن
  • لمياء طه عبد الله

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

Published
2018-10-20
How to Cite
حسنف., & عبد اللهل. (2018). 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, 24(105), 514. https://doi.org/10.33095/jeas.v24i105.60
Section
Statistical Researches