Relative Efficiency of DCC Estimates via Different Algorithms

S. W. Ali, S. M. Jawed


DOI: http://dx.doi.org/10.22555/pjets.v7i2.2441

Abstract


Volatility plays an important role in capturing the variability in any series, hence multivariate volatility models helps us in figuring out the spillovers across variables. The observation of such spillovers plays a very crucial role in financial decision making. Starting from the pioneering works of [1] and [2] ARCH/ GARCH type models and their multivariate extensions are widely used for capturing volatility spillovers. Dynamic Conditional Correlation (DCC) model proposed by [3] is one of the most widely used multivariate GARCH model. As GARCH type models are non - linear in nature, hence their solutions vary across the algorithms used for their computation. Different algorithms are used in different software and thus give varying results.  In this study, we are going to compute and compare DCC model estimates through different software. In our study SAS results would be considered as baseline estimates and the competing results would be obtained from Stata and R. We will model the DCC estimates between returns on NYSE and PSX indices data for the time period of September 2001 to August 2016.This study would help us to determine the relative efficiency and accuracy of algorithms used for estimating the DCC model.


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References


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Chief Editor

Prof. Dr. Ejaz Ahmed 
Dean
College of Computer Science & Information Systems

Editor

Prof Dr. S. M. Aqil Burney

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Dr. Muhammad Mansoor Aalam

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Dr. Mohammad Irshad Khan
Dr. Shahid Amjad
Dr. Abdul Rauf Farooqui
Dr. Syed Iftikhar Ali
Dr. Tajuddin Islamuddin
Dr. Muhammad Danish Khan
Dr. Imran Majid
Dr. Fatima Riaz
Dr. Adeel Ansari
Dr. Zeeshan Shahid
Ms. Seema Ansari

Editorial Advisory Board (International)

Prof. Dr. Mazliham Mohd Su'ud, President, Universiti Kuala Lumpur, Malaysia
Prof. Dr. Ghassan Al-Qaimari, President, Emirates College of Technology, Abu Dhabi, UAE
Prof. Dr. Patrice Boursier, Universite de La Rochelle, La Rochelle, France
Prof. Dr. Mudassir Uddin, Professor, University of Karachi, Pakistan
Dr. Nadeem Doudpota, Associate Professor, Al-Baha University, KSA
Dr. Haithem Abdelrazaq Almefleh, Associate Professor, Yarmouk University, Yarmouk, Jordan
Dr. S. Asim Ali, Assistant Professor, University of Karachi, Pakistan

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Dr. Salahttin Kuru, Kemeburgaz University, TurkeyDr. Soon Min, INTI International University, Malaysia
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Dr. Syed Faiz Ahmed, Senior Lecturer, British Malaysian Institute, Universiti Kuala Lumpur, Gombak, Malaysia

Dr. Jawad Ali Shah, Senior Lecturer, British Malaysian Institute, Universiti Kuala Lumpur, Gombak, Malaysia

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