Econometric Model for Risk Forecasting
Journal Title: Revista Romana de Statistica - Year 2013, Vol 61, Issue 2
Abstract
The financial crisis had a significant 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.
Authors and Affiliations
Dumitru Cristian OANEA, Victoria Gabriela ANGHELACHE, Bogdan ZUGRAVU
Keywords
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