Advances in Risk Management

274 TIME-VARYING RETURN CORRELATIONS AND PORTFOLIOS

Table 14.2 Descriptive statistics ofex postreturns of efficient portfolios

Model Mean Std. dev. Skewness Kurtosis Jarque-Bera

All portfolios

One-month returns

Rolling −0.0044 0.066813 −0.514897 2.3146 179.4399
DCC 0.0033 0.070526 0.012346 2.87996 233.5973

Three-month returns
Rolling −0.0032 0.097966 −0.844897 0.92505 83.4231

DCC 0.0044 0.100200 0.649588 3.00677 299.9517

Six-month returns
Rolling 0.0048 0.127424 −0.753842 0.89383 85.8892

DCC 0.0077 0.131530 0.038403 2.02565 114.8855

[Low-risk portfolios]
One-month returns
Rolling 0.0001 0.058357 0.315829 1.28023 25.8994

DCC 0.0045 0.060822 0.351980 1.85805 50.1717

Three-month returns

Rolling 0.0057 0.083142 −0.328805 0.81550 13.9494
DCC 0.0037 0.089233 0.186751 2.63235 89.8324

Six-month returns

Rolling 0.0157 0.1084 −0.485141 0.60520 16.6189
DCC 0.0113 0.111627 −0.289139 0.07091 4.3136

[High-risk portfolios]

One-month returns

Rolling −0.0081 0.072990 −0.537141 2.32654 100.1449
DCC 0.0023 0.077762 0.325195 2.85595 130.8367

Three-month returns
Rolling −0.0106 0.108346 −0.784015 0.51280 41.5057

DCC 0.0049 0.108615 0.847932 2.88417 170.7150

Six-month returns
Rolling −0.0122 0.140195 −0.745651 0.55011 38.5307

DCC 0.0048 0.146148 0.184092 2.23437 78.2019

The summary statistics ofex postreturns of efficient portfolios created
using the rolling model and DCC model are given in Table 14.2. For each of
the 60 months, one minimum variance portfolio and ten efficient portfolios
are created and theex postreturns of each of these portfolios are calculated
for periods of one month, three months and six months. Furthermore, these