Primena regresione analize finansijskih vremenskih serija u upravljanju portfolio rizicima

Abstract

In developed financial markets, there is an urgent need of the participants for examination, comparison and prediction of volatility in the process of the investment decision making. The above requirements have caused a significant number of studies of financial markets. Unlike the developed financial markets which are connected with numerous very detailed and extensive research on the movement of volatility, this area is still quite unexplored in the financial markets of Serbia and in the region. According to the authors' knowledge, there is still no research of volatility of the financial markets of South Eastern Europe in the terms of their accession to the European Union. Given the fact of accession of the observed countries to The European Union, the assumption is that the process of harmonization of regulations on financial markets, as well as closer linkage of these markets to the markets of the European Union, will result in the transformation of financial markets themselves, which indicates the importance of such research. The subject of the thesis is to investigate the effect of accession of these countries to the EU and the dynamics of the volatility characteristics of their financial markets in order to investigate the influence on portfolio risk. These influences are investigated by modelling the volatility of stock market indices of the observed countries in Eastern Europe and by application of various methods for the creation of optimal portfolio.