A COPULA-GARCH MODEL FOR A PROXY PORTFOLIO FOR BET-FI INDEX

Marius Acatrinei ()

Studii Financiare (Financial Studies), 2015, vol. 19, issue 2, 8-16

Abstract: The paper fits a copula-Garch model for a proxy portfolio of BET-FI index and computes its Expected Shorfall. We used daily closing prices spanning for a two year period. The results indicate that the portfolio’s Expected Shortfall computed with a copula-Garch is higher than otherwise reported by a naive Value at Risk. The VaR computed with variance-covariance method assumes a multivariate Gaussian distribution and produces results that constantly underestimates the risk due to incorrect distributional assumptions.

Keywords: Garch model; Copula function; Stock Market Indices; Expected Shortfall (search for similar items in EconPapers)
JEL-codes: C32 C51 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.icfm.ro/RePEc/vls/vls_pdf/vol19i2p8-16.pdf

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:vls:finstu:v:19:y:2015:i:2:p:8-16

Access Statistics for this article

More articles in Studii Financiare (Financial Studies) from Centre of Financial and Monetary Research "Victor Slavescu" Contact information at EDIRC.
Bibliographic data for series maintained by Daniel Mateescu ().