Value-at-Risk (VAR) Estimation Methods: Empirical Analysis based on BRICS Markets
Ameni Ben Salem,
Imene Safer and
MPRA Paper from University Library of Munich, Germany
The purpose of this paper is to investigate some statistical methods to estimate the value-at-Risk (VaR) for stock returns in the BRICS countries for the period between 2011 to 2018. Four different risk methods are used to estimate VaR: Historical Simulation (HS), Riskmetrics, Historical Method and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) Process. By applying the Backtesting technique, we try to test the effectiveness of this different methods by comparing the calculated VaR with the real realized losses (or gain) of the portfolio or the index. The results show that for the all-BRICS countries and at different confidence level; the Historical Method and the Historical Simulation are the appropriate methods. While the GARCH model failed to predict precisely the VaR for all BRICS countries.
Keywords: Value-at-Risk; BRICS; Riskmetrics; Historical Simulation; GARCH; Historical Method; Backtesting; Confidence level. (search for similar items in EconPapers)
JEL-codes: C15 C52 C58 (search for similar items in EconPapers)
Date: 2022-02, Revised 2022-05
New Economics Papers: this item is included in nep-cis, nep-dem and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:113350
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