Dynamic Value at Risk: A Comparative Study Between Heteroscedastic Models and Monte Carlo Simulation

Marcos Roberto Gois de Oliveira (), Charles De Montreuil Carmona and José Lamartine Távora Junior ()
Additional contact information
Marcos Roberto Gois de Oliveira: Universidade Federal de Pernambuco
José Lamartine Távora Junior: Departamento de Economia, Universidade Federal de Pernambuco (UFPE)

Brazilian Review of Finance, 2006, vol. 4, issue 2, 181-202

Abstract: The objective of this paper was to analyze the risk management of a portfolio composed by Petrobras PN, Telemar PN and Vale do Rio Doce PNA stocks. It was verified if the modeling of Value-at-Risk (VaR) through the place Monte Carlo simulation with volatility of GARCH family is supported by hypothesis of efficient market. The results have shown that the statistic evaluation in inferior to dynamics, evidencing that the dynamic analysis supplies support to the hypothesis of efficient market of the Brazilian share holding market, in opposition of some empirical evidences. Also, it was verified that the GARCH models of volatility is enough to accommodate the variations of the shareholding Brazilian market, since the model is capable to accommodate the great dynamic of the Brazilian market.

Keywords: dynamic analysis; Monte Carlo simulation; value at risk (search for similar items in EconPapers)
JEL-codes: C15 G14 G19 (search for similar items in EconPapers)
Date: 2006
References: Add references at CitEc
Citations:

Downloads: (external link)
http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/download/1161/362 (application/pdf)
http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/1161 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:brf:journl:v:4:y:2006:i:2:p:181-202

Access Statistics for this article

Brazilian Review of Finance is currently edited by Marcio Laurini

More articles in Brazilian Review of Finance from Brazilian Society of Finance
Bibliographic data for series maintained by Marcio Laurini ().