Estimating the VaR of Brazilian stock portfolios via GARCH family models and via Monte Carlo Simulation

Lucas Godeiro ()

Journal of Applied Finance & Banking, 2014, vol. 4, issue 4, 10

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. We used three portfolios composite with preferential stocks of five Ibovespa companies. The results show that the t distribution adjusts better to data, because the violation ratio of the VaR calculated with t distribution is less than the violation ratio estimated with normal distribution.

Date: 2014
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