Multivariate Garch Models and Optimal Portfolio Allocation Decissions. An Empirical Evidence From the Spanish Stock Market

• Autores: José Luis Miralles Marcelo, José Luis Miralles Quirós
• Localización: XI Congreso Hispano-Italiano de Matemática Financiera y Actuarial: Badajoz, 2, 3 y 4 de julio de 2009 / coord. por José Luis Miralles Marcelo, 2009, págs. 1-23
• Idioma: inglés
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• Dialnet Métricas: 1 Cita
• Resumen

  • This paper examines the transmission of volatility and shocks among three relevant indexes (IBEX 35, IBEX MEDIUM CAP and IBEX SMALL CAP) which have been created with the objective of becoming a reference for large, medium and small capitalization companies of the Spanish stock market. Our findings show the importance of medium firms based on their significant transmission of volatility and shocks to large and small firms.

    Additionally, we show that the risk minimizing portfolio is composed of medium and small indexes with a higher weight of medium firms.