Assessing portfolio market risk in the BRICS economies: use of multivariate GARCH models

Lumengo Bonga-Bonga and Lebogang Nleya

MPRA Paper from University Library of Munich, Germany

Abstract: This paper compares the performance of the different models used to estimate portfolio value-at-risk (VaR) in the BRICS economies. Portfolio VaR is estimated with three different multivariate risk models, namely the constant conditional correlation (CCC), the dynamic conditional correlation (DCC) and asymmetric DCC (ADCC) GARCH models. Risk performance measures such as the average deviations, quadratic probability function score and the root mean square error are used to back-test the performance of the models at 90%. The results indicate that portfolios with more weight to currency and less to equities prove to be the best way of minimizing loses in BRICS.

Keywords: portfolio value-at-risk; multivariate GARCH; risk performance measures; BRICS (search for similar items in EconPapers)
JEL-codes: C58 G15 (search for similar items in EconPapers)
Date: 2016-12-25
New Economics Papers: this item is included in nep-cis and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Related works:
Journal Article: Assessing Portfolio Market Risk in the BRICS Economies: Use of Multivariate GARCH Models (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:75809

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