Ditemukan 1 dokumen yang sesuai dengan query
Emenike O. Kalu
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Modeling the correlation of assets returns volatilities across different markets or segments of a
market has practical value for portfolio selection and diversification, market regulation, and risk
management. This paper therefore evaluates the nature of time-varying correlation between volatilities
of stock market and crude oil returns in Nigeria using Dynamic Conditional Correlation-Generalised
Autoregressive Conditional Heteroscedasticity (DCC-GARCH) model. Results from DCCGARCH
(1,1) model show evidence of volatility clustering and persistence in Nigeria stock market
and crude oil returns. The results also show ...
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Rhema University Nigeria, Department of Banking and Finance, 2015
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Artikel Jurnal Universitas Indonesia Library
