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Portfolio Risk Analysis using ARCH and GARCH Models in the Context of the Global Financial Crisis

Author

Listed:
  • Oana Mădălina PREDESCU

    (Bucharest Academy of Economic Studies)

  • Stelian STANCU

    (Bucharest Academy of Economic Studies)

Abstract

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.

Suggested Citation

  • Oana Mădălina PREDESCU & Stelian STANCU, 2011. "Portfolio Risk Analysis using ARCH and GARCH Models in the Context of the Global Financial Crisis," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(2(555)), pages 75-88, February.
    • Handle: RePEc:agr:journl:v:2(555):y:2011:i:2(555):p:75-88
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    Citations

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    Cited by:

    1. OPREANA Claudiu & BRATIAN Vasile, 2012. "Modeling Of Volatility In The Romanian Capital Market," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 7(3), pages 113-128, December.
    2. Pradipta Kumar SAHOO, 2017. "Bitcoin as digital money: Its growth and future sustainability," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(4(613), W), pages 53-64, Winter.

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