Portfolio Risk Analysis using ARCH and GARCH Models in the Context of the Global Financial Crisis
This paper examines both the benefits of choosing an internationally diversified portfolio and the evolution of the portfolio risk in the context of the current global financial crisis. The portfolio is comprised of three benchmark indexes from Romania, UK and USA. Study results show that on the bac...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
General Association of Economists from Romania
2011-02-01
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| Series: | Theoretical and Applied Economics |
| Subjects: | |
| Online Access: |
http://store.ectap.ro/articole/557.pdf
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| _version_ | 1819138596931633152 |
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| author | Oana Mădălina PREDESCU Stelian STANCU |
| author_facet | Oana Mădălina PREDESCU Stelian STANCU |
| author_sort | Oana Mădălina PREDESCU |
| collection | DOAJ |
| description | This paper examines both the benefits of choosing an
internationally diversified portfolio and the evolution of the portfolio risk
in the context of the current global financial crisis. The portfolio is
comprised of three benchmark indexes from Romania, UK and USA.
Study results show that on the background of a global economic climate
eroded strongly by the effects of the current financial crisis, international
diversification does not reduce risk. Moreover, using ARCH and GARCH
models shows that the evolution of portfolio volatility is influenced by the
effects of the current global financial crisis. |
| first_indexed | 2024-12-22T11:09:17Z |
| format | Article |
| id | doaj.art-d45f5e5db6f14cdcb1fad81a8b9ecc53 |
| institution | Directory Open Access Journal |
| issn | 1841-8678 1844-0029 |
| language | English |
| last_indexed | 2024-12-22T11:09:17Z |
| publishDate | 2011-02-01 |
| publisher | General Association of Economists from Romania |
| record_format | Article |
| series | Theoretical and Applied Economics |
| spelling | doaj.art-d45f5e5db6f14cdcb1fad81a8b9ecc532022-12-21T18:28:13ZengGeneral Association of Economists from RomaniaTheoretical and Applied Economics1841-86781844-00292011-02-01XVIII2758818418678Portfolio Risk Analysis using ARCH and GARCH Models in the Context of the Global Financial CrisisOana Mădălina PREDESCU0Stelian STANCU1 Bucharest Academy of Economic Studies Bucharest Academy of Economic Studies This paper examines both the benefits of choosing an internationally diversified portfolio and the evolution of the portfolio risk in the context of the current global financial crisis. The portfolio is comprised of three benchmark indexes from Romania, UK and USA. Study results show that on the background of a global economic climate eroded strongly by the effects of the current financial crisis, international diversification does not reduce risk. Moreover, using ARCH and GARCH models shows that the evolution of portfolio volatility is influenced by the effects of the current global financial crisis. http://store.ectap.ro/articole/557.pdf global financial crisisdiversificationvolatilityARCH modelGARCH model |
| spellingShingle | Oana Mădălina PREDESCU Stelian STANCU Portfolio Risk Analysis using ARCH and GARCH Models in the Context of the Global Financial Crisis Theoretical and Applied Economics global financial crisis diversification volatility ARCH model GARCH model |
| title | Portfolio Risk Analysis using ARCH and GARCH Models in the Context of the Global Financial Crisis |
| title_full | Portfolio Risk Analysis using ARCH and GARCH Models in the Context of the Global Financial Crisis |
| title_fullStr | Portfolio Risk Analysis using ARCH and GARCH Models in the Context of the Global Financial Crisis |
| title_full_unstemmed | Portfolio Risk Analysis using ARCH and GARCH Models in the Context of the Global Financial Crisis |
| title_short | Portfolio Risk Analysis using ARCH and GARCH Models in the Context of the Global Financial Crisis |
| title_sort | portfolio risk analysis using arch and garch models in the context of the global financial crisis |
| topic | global financial crisis diversification volatility ARCH model GARCH model |
| url |
http://store.ectap.ro/articole/557.pdf
|
| work_keys_str_mv | AT oanamadalinapredescu portfolioriskanalysisusingarchandgarchmodelsinthecontextoftheglobalfinancialcrisis AT stelianstancu portfolioriskanalysisusingarchandgarchmodelsinthecontextoftheglobalfinancialcrisis |