ABSTRACT
ABSTRACT: This paper has two main purposes: to compare the risk behavior of industries in the US and to document the impact of global financial crisis on their risk behaviors. To achieve this purpose, we have made use of the US data belonging to 34 sector indices as well as the VaR calculated with the most favoured standard deviation computer, GARCH. The test developed by Kupiec is employed to check for the risk aspects of the industries. Our results clearly indicate that the risk is increasing in intensity as the crisis hits the economy and some sectors are surprising their investors more than others.
