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Asia-Pacific Islamic Stocks and Gold - A Markov-switching Copula Estimation

Author

Listed:
  • Bayu Adi Nugroho

    (STIE YKPN, Yogyakarta, Indonesia)

Abstract

This paper tests regime changes of the conditional dependence between Asia-Pacific Islamic stocks and gold. Relying on a time-varying Student’s t copula with Markov-switching autoregressive conditional heteroskedasticity (MSGARCH), this paper finds the dependence is negative and significant, implying strong diversification benefits. In addition, the copula with MSGARCH is the best-fitting model. Finally, the copula with a single-regime specification consistently outperforms the other models when forecasting value at risk.

Suggested Citation

  • Bayu Adi Nugroho, 2022. "Asia-Pacific Islamic Stocks and Gold - A Markov-switching Copula Estimation," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 3(1), pages 1-6.
    • Handle: RePEc:ayb:jrnael:62
    DOI: 2022/06/16
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    References listed on IDEAS

    as
    1. Christoffersen, Peter F, 1998. "Evaluating Interval Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 841-862, November.
    2. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. "On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

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    JEL classification:

    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • N3 - Economic History - - Labor and Consumers, Demography, Education, Health, Welfare, Income, Wealth, Religion, and Philanthropy
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General

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