文章基本信息

标题：Dynamic Portfolio Selection on Croatian Financial Markets: MGARCH Approach
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作者：Škrinjarić, Tihana ; Šego, Boško
期刊名称：Business Systems Research
印刷版ISSN：1847-8344
电子版ISSN：1847-9375
出版年度：2016
卷号：7
期号：2
页码：78-90
DOI：10.1515/bsrj-2016-0014
语种：English
出版社：Udruga za promicanje poslovne informatike
摘要：Background: Investors on financial markets are interested in finding trading strategies which could enable them to beat the market. They always look for best possibilities to achieve above-average returns and manage risks successfully. MGARCH methodology (Multivariate Generalized Autoregressive Conditional Heteroskedasticity) makes it possible to model changing risks and return dynamics on financial markets on a daily basis. The results could be used in order to enhance portfolio formation and restructuring over time. Objectives: This study utilizes MGARCH methodology on Croatian financial markets in order to enhance portfolio selection on a daily basis. Methods/Approach: MGARCH methodology is applied to the stock market index CROBEX, the bond market index CROBIS and the kuna/euro exchange rate in order to model the co-movements of returns and risks on a daily basis. The estimation results are then used to form successful portfolios. Results: Results indicate that using MGARCH methodology (the CCC and the DCC model) as guidance when forming and rebalancing a portfolio contributes to less portfolio volatility and greater cumulated returns compared to strategies which do not take this methodology into account. Conclusions: It is advisable to use MGARCH methodology when forming and rebalancing portfolios in terms of portfolio selection.
关键词：Zagreb Stock Exchang; DCC and CCC GARCH; risk hedging; volatility