Dynamic Portfolio Selection on Croatian Financial Markets: MGARCH Approach

Abstract

Background: Investors on financial markets are interested in finding trading strategies which could enable them to beat the market. They always look for best possibilities to achieve above-average returns and manage risks successfully. MGARCH methodology (Multivariate Generalized Autoregressive Conditional Heteroskedasticity) makes it possible to model changing risks and return dynamics on financial markets on a daily basis. The results could be used in order to enhance portfolio formation and restructuring over time.

Keywords

• zagreb stock exchange
• dcc and ccc garch
• risk hedging
• volatility
• g12
• c58