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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  • EP ID EP109379
  • DOI -
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How To Cite

Dumitru Cristian OANEA, Victoria Gabriela ANGHELACHE, Bogdan ZUGRAVU (2013). Econometric Model for Risk Forecasting. Revista Romana de Statistica, 61(2), 123-127. https://europub.co.uk/articles/-A-109379