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Econometric Model for Risk Forecasting

Author

Listed:
  • Dumitru Cristian OANEA

    (Academy of Economic Studies, Bucharest)

  • Victoria Gabriela ANGHELACHE

    (Academy of Economic Studies, Bucharest)

  • Bogdan ZUGRAVU

    (Academy of Economic Studies, Bucharest)

Abstract

The financial crisis had a signifîcant influence over the financial markets, on both mean returns and volatility, while for exchange rates the crisis had an impact only on their volatility. The RiskMetrics model was applied to stock market data, exchange rates data and commodities data for Value at Risk estimation. Taking a long position in two negatively correlated financial assets it is a less risky strategy. In order to see if the financial crisis had a significant impact on the financial assets' returns and volatilities, this research computes the mean returns and standard deviation for all financial indicators for financial crisis period and for a period of two years before crisis, to have symmetry in the data.

Suggested Citation

  • Dumitru Cristian OANEA & Victoria Gabriela ANGHELACHE & Bogdan ZUGRAVU, 2013. "Econometric Model for Risk Forecasting," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 61(2), pages 123-127, May.
    • Handle: RePEc:rsr:supplm:v:61:y:2013:i:2:p:123-127
    as

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    References listed on IDEAS

    as
    1. Patev Plamen & Kanaryan Nigokhos & Lyroudi Katerina, 2009. "Modelling and Forecasting the Volatility of Thin Emerging Stock Markets: the Case of Bulgaria," Comparative Economic Research, Sciendo, vol. 12(4), pages 47-60, January.
    2. Ulf Nielsson, 2009. "Measuring and regulating extreme risk," Journal of Financial Regulation and Compliance, Emerald Group Publishing Limited, vol. 17(2), pages 156-171, May.
    3. Robert Sollis, 2009. "Value at risk: a critical overview," Journal of Financial Regulation and Compliance, Emerald Group Publishing Limited, vol. 17(4), pages 398-414, November.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Dumitru-Cristian OANEA & Gabriela-Victoria ANGHELACHE, 2014. "Systemic Risk Caused By Romanian Financial Intermediaries During Financial Crisis: A Covar Approach," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 14, pages 171-178, December.
    2. Gabriela Anghelache & Dumitru-Cristian Oanea, 2014. "Main Romanian Commercial Banks’ Systemic Risk during Financial Crisis: a CoVar Approach," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 6(2), pages 069-080, December.

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    More about this item

    Keywords

    risk metrics; correlation; financial instrument; financial crisis;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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