DCC-GARCH Application in Formulating Dynamic Portfolio between Stocks in the Indonesia Stock Exchange with Gold

This study tries to form a portfolio by using a method which may accommodate the dynamic of assets cor r elation and the abnormality of stock r eturn distribution namely DCC-GARCH. The ob- jective of this study is to combine individual stocks with gold, so r etail investor can also apply this method. This study using data f r om January 2009 –December 2017 period. Samples in this study we r e nine stocks. The r esults of this study showed that the r e we r e two stocks with higher Sharpe Ratio if combined with gold th r ough dynamic portfolio formation (hedged portfolio) namely BBCA-Gold and SMCB-Gold than unhedged portfolio. And the r e a r e th r ee stocks with higher T r eynor Ratio if combined with gold th r ough dynamic portfolio formation (hedged portfolio) namely BBCA-Gold, SMCB-Gold and UNTR-Gold than unhedged portfolio. This finding p r oves that the DCC-GARCH application can imp r ove the risk-adjusted r eturn of these stocks when combined with gold.