La modélisation de la dynamique des volatilités et des corrélations entre les prix des matières premières et les rendements boursiers

Sami Mestiri and Sabrine Abdelghani

Working Papers from HAL

Abstract: In this paper, our objective is to study dynamic of volatilities and correlations between the return of Tunisian stock market and commodity prices over the period 2006-2016. We used the DCC-GARCH model to determine the best strategy for hedging a portfolio against the risk of unfavorable price movements in the market. The empirical results show that the volatility of the Tunisian market can be influenced not only by its own past values or by domestic shocks but also by past shocks from international commodity markets. In addition we concluded that, the portfolio selected by a Tunisian investor should be composed mainly of stock assets rather than commodities.

Keywords: volatilities; dynamics of correlation; DCC-GARCH; multivariate GARCH; hedging strategy; optimal portfolio weight (search for similar items in EconPapers)
Date: 2021-11-17
New Economics Papers: this item is included in nep-ara and nep-rmg
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