Home  Journals  Finance and Credit  24(408) - 2010 June

Use of ARCH-Models in Task of Modeling of Conditional Covariations of Yields of Financial Assets

Available online: 16 June 2010

Subject Heading: FUND MARKET

JEL Classification: 

Building of portfolio of securities is a key of decision-making task in the investment activity in stock market. In the present work classical approach of G. Markowitz to solving this task is examined, its disadvantages are displayed. Multidimensional model of autoregressive conditional heteroskedasticity is suggested, which allows to receive predictive values of variances of yields of separate assets, as well as their covariations. This model is illustrated with practical calculations on the basis of data of RTS exchange.

Keywords: portfolio of securities, yield, risk, dispersion, covariation, autoregressive conditional heteroskedasticity

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ISSN 2311-8709 (Online)
ISSN 2071-4688 (Print)

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