An application of MGARCH-DCC analysis on selected currencies in terms of gold Price

Mohamad, Sharifah Fairuz Syed and Masih, Mansur (2013): An application of MGARCH-DCC analysis on selected currencies in terms of gold Price.

Abstract

The trading between currencies in Islam when both parties’ responsibilities are postponed to the future has been regarded as non-halal or un-islamic. Since there are many controversies in the area of currency, there have been suggestions to enhance investments in gold to avoid the element of ‘syubhah’ or doubts since gold has been used in the past for many functions. Investment in gold has been in demand for the past few years especially in hedging strategies. In this paper, we study the relationships between selected currencies in terms gold prices and their movements in volatility and correlation using the MGARCH-DCC analysis. Findings of the study tend to indicate the opportunities of various diversification portfolios for the interested gold investors. The findings of the study are of benefit to gold investors especially for diversification and investment purposes.

• Item Type: MPRA Paper
• Language: English
• Keywords: MGARCH-DCC, gold, Euro, Pound, US Dollar, Japanese Yen, Malaysian Ringgit, Canadian Dollar
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C58 - Financial Econometrics; G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets

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