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ESTIMATING THE VALUE-AT-RISK (VaR) OF PORTFOLIOS VIA GARCH FAMILY MODELS AND MONTE CARLO SIMULATION

Author

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  • Lucas Lúcio Godeiro

    (Universidade Federal Rural do Semi-Ã rido (Ufersa))

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.

Suggested Citation

  • Lucas Lúcio Godeiro, 2013. "ESTIMATING THE VALUE-AT-RISK (VaR) OF PORTFOLIOS VIA GARCH FAMILY MODELS AND MONTE CARLO SIMULATION," Revista de Economia Mackenzie (REM), Mackenzie Presbyterian University, Social and Applied Sciences Center, vol. 11(2), pages 90-113, May-Augus.
    • Handle: RePEc:aft:journl:v:11:2:may:aug:2013:p:90-113
    DOI: -
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