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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]

Author

Listed:
  • Lúcio Godeiro, Lucas

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

  • Lúcio Godeiro, Lucas, 2012. "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 Carl," MPRA Paper 45146, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:45146
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    VaR; GARCH; Monte Carlo Simulation.;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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