Measuring Risk with COGARCH(p,q) Models
31 Pages Posted: 17 Oct 2016
Date Written: October 15, 2016
In this paper we introduce a multivariate Independent Component COGARCH(p,q) model for financial time series. We determine optimal portfolio weights obtained as a solution of different static asset allocation problems. Empirical analysis is conducted on two datasets. The first is composed by 154 European hedge funds tracking the performance of the FTSE100 Index while the second contains the members of FTSE100. The performances of different strategies are investigated from an out-of-sample perspective.
Keywords: ICA-COGARCH(p,q) Model, Risk Measures, Portfolio Selection, Tree Construction
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