Estimando o VaR (Value-at-Risk) de carteiras via modelos da família GARCH e via Simulação de Monte Carlo

Estimating the VaR (Value-at-Risk) of portfolios via GARCH family models and via Monte Carlo Simulation

Lucas Godeiro ()

MPRA Paper from University Library of Munich, Germany

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)
JEL-codes: C53 G17 (search for similar items in EconPapers)
Date: 2012-06-21
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:45146

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