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

Bayu Adi Nugroho ()
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Bayu Adi Nugroho: STIE YKPN, Yogyakarta, Indonesia

Asian Economics Letters, 2022, vol. 3, issue 1, 1-6

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.

Keywords: Stock; Gold; Islamic (search for similar items in EconPapers)
JEL-codes: C13 E51 N3 (search for similar items in EconPapers)
Date: 2022
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