Logo
Munich Personal RePEc Archive

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.

[thumbnail of MPRA_paper_45146.pdf]
Preview
PDF
MPRA_paper_45146.pdf

Download (631kB) | Preview
[thumbnail of MPRA_paper_45146.pdf]
Preview
PDF
MPRA_paper_45146.pdf

Download (631kB) | Preview

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.

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.