Estimando o VaR (Value-at-Risk) de carteiras via modelos da família GARCH e via Simulação de Monte Carlo

Lúcio Godeiro, Lucas (2012): Estimando o VaR (Value-at-Risk) de carteiras via modelos da família GARCH e via Simulação de Monte Carlo.

Abstract

The objective this work is to calculate the VaR of portfolios via GARCH family models with normal and t-student distribution and via Monte Carlo Simulation. It was used three portfolios composite with preferential stocks of five companies of the Ibovespa. The results show that the t distribution adjusts better to data, because the violation ratio of the VaR calculated with t distribution is less violation ratio estimated with normal distribution.

• Item Type: MPRA Paper
• English Title: Estimating the VaR (Value-at-Risk) of portfolios via GARCH family models and via Monte Carlo Simulation
• Language: Portuguese
• Keywords: VaR; GARCH; Monte Carlo Simulation.
• Subjects: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods ; Simulation Methods; G - Financial Economics > G1 - General Financial Markets > G17 - Financial Forecasting and Simulation

References

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