Volume 15, Issue 2 (2015)                   QJER 2015, 15(2): 183-201 | Back to browse issues page

‎ 20.1001.1.17356768.1394.15.2.6.4

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Amiri S, homayounifar M, karimzadeh M, Falahi M A. Examination of Dynamic Correlation between Major Assets in Iran by DCC-GARCH Approach. QJER 2015; 15 (2) :183-201
URL: http://ecor.modares.ac.ir/article-18-7024-en.html
Examination of Dynamic Correlation between Major Assets in Iran by DCC-GARCH Approach
Shadi Amiri1 , Masoud Homayounifar2 , Mostafa Karimzadeh * 3, Mohammad Ali Falahi4
1- MA of Economics, Ferdowsi University of Mashhad, E-mail: sh_am433@yahoo.com
2- . Associate Professor of Economics, Ferdowsi University of Mashhad, E-mail: homayounifar@um.ac.ir
3- Assistant Professor of Economics, Ferdowsi University of Mashhad, E-mail: m.karimzadeh@um.ac.ir
4- . Professor of Economics, Ferdowsi University of Mashhad, E-mail: falahi@um.ac.ir
Abstract:   (7817 Views)
This study investigates the time-varying correlations among oil and coin prices, and exchange rate in Iran. Since investment is a key factor in economic growth and development, so the necessary funds should be provided and directed towards manufacturing and industrial sectors. In addition, understanding the relationships among financial variables allows to the investor to reduce overall portfolio risk without harming to the return on investment. In this paper we use monthly data of the oil and coin prices, and exchange rate in Iran over the period 1991:3 to 2011:2 and examine time-varying correlations using Dynamic Conditional Correlation - Generalized Autoregressive Conditional Heteroskedasticity (DCC-GARCH) approach by G@RCH6 software. The analyses made in milieu of the world financial crisis (2008) show that the conditional correlations among assets are time-varying and world financial crisis causes significant changes in dynamic relationships among assets under study in Iran.
Keywords: DCC-GARCH, Oil price, Coin price, Exchange rate, Dynamic correlation, DCC-GARCH
Full-Text [PDF 360 kb]   (7991 Downloads)    
Article Type: Research Paper | Subject: D53 - Financial Markets
Received: 2013/02/6 | Revised: 2015/05/12 | Accepted: 2013/09/25 | Published: 2015/04/21
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