The Analysis of the CAC 40 National Index and of the Euronext 100 PAN-European Index Using Arch Models

摘要

Diversification purpose is to increase returns and reduce risk. In the context of the new architecture of European financial market, our purpose is to compare the behavior of the CAC 40 index and of the Euronext 100 index in the last 10 years, to identify commonalities in investing in the two indices, and an econometric model that takes into account the heteroskedasticity of financial series. Thus, by choosing the EGARCH model for both series, we can consider that due to financial integration, a shock that manifests in a national market has also repercussions on the European market.