Building an investment portfolio using GARCH
DOI:
https://doi.org/10.15381/idata.v15i1.6254Keywords:
portfolios, GARCH, evaluation.Abstract
In this paper we analyze investment portfolios of Chilean market, using the average model variance proposed by Markowitz, particularly using the variance-covariance matrix of unconditional and conditional, where the latter is estimated through GARCH models. Then, we evaluate the performance of these portfolios using as a reference (benchmark) a market portfolio given by the general index of share prices (IGPA) of Chilean market.
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Copyright (c) 2012 Mauricio Gutiérrez Urzúa, Marcelo Salgado I
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