Construction of Dynamic Correlation Model between Stock and Gold Markets Based on DCC-MVGARCH

Investments play a crucial role in the stock and gold markets. The link between the two markets is particularly important for investors, especially those aiming to manage risk factors and design portfolio strategies related to the bond, equity and gold markets. Understanding the dynamics between these two markets will help optimize investment decisions. In this study, a DCC-MVGARCH model is used to determine the correlation and volatility changes between the equity and gold markets. The DCC-MVGARCH methodology will be used to uniquely model the dynamics of the correlation between the equity and gold markets. Through this model, we will calculate the correlation coefficient between stock market and gold market and analyze and discuss it using monthly data. The results of the study show that the correlation coefficient between the stock market and the gold market exhibits high correlation in most of the months, showing a positive linear relationship between the two. This finding is in line with previous findings revealing high correlation between stock market and gold market. This may be due to the influence of shared economic factors or investor behavior.