Econometric Model for Risk Forecasting

Dumitru Cristian Oanea, Victoria Gabriela Anghelache and Bogdan Zugravu
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Dumitru Cristian Oanea: Academy of Economic Studies, Bucharest
Victoria Gabriela Anghelache: Academy of Economic Studies, Bucharest

Romanian Statistical Review Supplement, 2013, vol. 61, issue 2, 123-127

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.

Keywords: risk metrics; correlation; financial instrument; financial crisis (search for similar items in EconPapers)
JEL-codes: D81 G32 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (2)

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