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La modélisation de la dynamique des volatilités et des corrélations entre les prix des matières premières et les rendements boursiers

Author

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  • Sami Mestiri

    (FSEG Mahdia - Faculté des Sciences Économiques et de Gestion de Mahdia [Univ Monastir] - UM - Université de Monastir - University of Monastir)

  • Sabrine Abdelghani

Abstract

In this paper, our objective is to study dynamic of volatilities and correlations between the return of Tunisian stock market and commodity prices over the period 2006-2016. We used the DCC-GARCH model to determine the best strategy for hedging a portfolio against the risk of unfavorable price movements in the market. The empirical results show that the volatility of the Tunisian market can be influenced not only by its own past values or by domestic shocks but also by past shocks from international commodity markets. In addition we concluded that, the portfolio selected by a Tunisian investor should be composed mainly of stock assets rather than commodities.

Suggested Citation

  • Sami Mestiri & Sabrine Abdelghani, 2021. "La modélisation de la dynamique des volatilités et des corrélations entre les prix des matières premières et les rendements boursiers," Working Papers hal-03432761, HAL.
    • Handle: RePEc:hal:wpaper:hal-03432761
    Note: View the original document on HAL open archive server: https://hal.science/hal-03432761
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    References listed on IDEAS

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    Keywords

    volatilities; dynamics of correlation; DCC-GARCH; multivariate GARCH; hedging strategy; optimal portfolio weight;
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