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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
    as

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    References listed on IDEAS

    as
    1. 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.
    2. 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.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Stock; Gold; Islamic;
    All these keywords.

    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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