Economics, Econometrics and Finance
3 years ago

GARCH Volatility Approach Outperforms in Global Minimum Variance Portfolio Performance

1 view
SSRN Electronic Journal
Global Minimum Variance Portfolio: A Horse Race of Volatilities
Majeed Simaan

Paper Summary

The article compares different ways to measure how risky investments are. They looked at three methods: sample variance, RiskMetrics, and GARCH. They wanted to see which method helps make the best investment choices. They found that GARCH works well, but it can lead to more changes in the investments and more mistakes when there are many assets in the portfolio.

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