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Conditional Volatility And Correlations Of Weekly Returns And The VaR Analysis Of 2008 Stock Market Crash

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Executive Summary

Modeling of conditional volatilities and correlations across asset returns is an integral part of portfolio decision making and risk management. Over the past three decades there has been a trend towards increased asset return correlations across markets, a trend which has been accentuated during the recent financial crisis. The authors shall examine the nature of asset return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility models proposed in the literature can be used to formally characterize and quantify market risk.

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