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Asymetrie během finančních krizí: asymetrická volatilita převyšuje důležitost asymetrické korelace
[Asymmetry of Financial Time Series During the Financial Crisis: Asymmetric Volatility Outperforms the Asymmetric Importance of Correlation]

Author

Listed:
  • Lukáš Frýd

Abstract

We have tested the stability of parameters loading the asymmetric behaviour of the correlation and the importance of this behavior on the portfolio selection. In this paper, we have analyzed the following time series S&P index, gold and CME 5-Year Treasury Note Futures during the most important crisis from 1992 to 2009. The methodology is based on the dynamic conditional correlation model and its asymmetric volatility and asymmetric correlation extensions. The stability of parameters was tested by t-test applied on the rol ling windows data. The information importance of asymmetric volatility and correlation was tested by global minimum variance portfolio. The results suggest that the parameters loading the asymmetric behavior of the correlation are not stable for the analyzed time series during the financial crisis. With one exception we have found out that global minimum variance portfolio based on the dynamic conditional correlation model with asymmetric volatility is significantly less volatile than the global minimum variance portfolio based on the asymmetric dynamic conditional correlation model.

Suggested Citation

  • Lukáš Frýd, 2018. "Asymetrie během finančních krizí: asymetrická volatilita převyšuje důležitost asymetrické korelace [Asymmetry of Financial Time Series During the Financial Crisis: Asymmetric Volatility Outperforms," Politická ekonomie, Prague University of Economics and Business, vol. 2018(3), pages 302-329.
    • Handle: RePEc:prg:jnlpol:v:2018:y:2018:i:3:id:1190:p:302-329
    DOI: 10.18267/j.polek.1190
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    More about this item

    Keywords

    asymmetric volatility; asymmetric correlation; crisis; dynamic conditional correlation model;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G01 - Financial Economics - - General - - - Financial Crises
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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