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Theoretical and Applied Economics
No. 2 / 2011 (555)

Portfolio Risk Analysis using ARCH and GARCH Models in the Context of the Global Financial Crisis

Oana Mădălina PREDESCU
Bucharest Academy of Economic Studies
Stelian STANCU
Bucharest Academy of Economic Studies

Abstract. This paper examines both the benefits of choosing an internationally diversified portfolio and the evolution of the portfolio risk in the context of the current global financial crisis. The portfolio is comprised of three benchmark indexes from Romania, UK and USA. Study results show that on the background of a global economic climate eroded strongly by the effects of the current financial crisis, international diversification does not reduce risk. Moreover, using ARCH and GARCH models shows that the evolution of portfolio volatility is influenced by the effects of the current global financial crisis.

Keywords: global financial crisis; diversification; volatility; ARCH model; GARCH model.

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