IDEAS home Printed from https://ideas.repec.org/a/agr/journl/v2(555)y2011i2(555)p75-88.html
   My bibliography  Save this article

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 / Editura Economica, vol. 0(2(555)), pages 75-88, February.
    • Handle: RePEc:agr:journl:v:2(555):y:2011:i:2(555):p:75-88
    as

    Download full text from publisher

    File URL: http://store.ectap.ro/articole/557.pdf
    Download Restriction: no
    File URL: http://www.ectap.ro/articol.php?id=557&rid=71
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    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 / Editura Economica, vol. 0(4(613), W), pages 53-64, Winter.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:agr:journl:v:2(555):y:2011:i:2(555):p:75-88. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Mircea Dinu (email available below). General contact details of provider: https://edirc.repec.org/data/agerrea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.