Modelos ortogonais para a estimativa multivariada de VAR (Value-at-risk) para risco de mercado: um estudo de caso comparativo

João Luiz Chela (), Jean Carlos Abrahão () and Luiz Fernando Ohara Kamogawa
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João Luiz Chela: Universidade Presbiteriana Mackenzie (UPM)
Jean Carlos Abrahão: Banco Itau
Luiz Fernando Ohara Kamogawa: Universidade Presbiteriana Mackenzie

Revista de Economia Mackenzie (REM), 2011, vol. 9, issue 1, 70-92

Abstract: The main approach of the present study is to empirically explore different approaches to estimate the multivariate distribution of market risk factors with a greater emphasis on orthogonal models. It has been explored five different models: 1. the dynamical conditional correlation models (DCC); 2. the principal component model (better the traditional RiskMetrics EWMA with 0.94 decay factor; 3. optimized GARCH with EWMA 0.94 on the correlation; and 4. an approach for extreme values distributions. The results indicate a better performance of principal component model.

Keywords: Principal components; GARCH; EWMA. (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:aft:journl:v:9:1:2011:jan:apr:p:70-92

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