ESTIMATING THE VALUE-AT-RISK (VaR) OF PORTFOLIOS VIA GARCH FAMILY MODELS AND MONTE CARLO SIMULATION

Lucas Lúcio Godeiro ()
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Lucas Lúcio Godeiro: Universidade Federal Rural do Semi-à rido (Ufersa)

Revista de Economia Mackenzie (REM), 2013, vol. 11, issue 2, 90-113

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.

Keywords: VaR; Garch; Monte Carlo simulation (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:aft:journl:v:11:2:may:aug:2013:p:90-113

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