Loading...
Please wait, while we are loading the content...
Similar Documents
Estimating the VAR (Value-at-Risk) of Brazilian Stock Portfolios via GARCH Family Models and via Monte Carlo Simulation
| Content Provider | Semantic Scholar |
|---|---|
| Author | Godeiro, Lucas Lúcio |
| Copyright Year | 2013 |
| 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. We used three portfolios composite with preferential stocks of five Ibovespa companies. The results show that the t distribution adjusts better to data, because the violation ratio of the VaR calculated with t distribution is less than the violation ratio estimated with normal distribution. |
| File Format | PDF HTM / HTML |
| DOI | 10.2139/ssrn.2309659 |
| Alternate Webpage(s) | http://www.scienpress.com/Upload/JAFB/Vol%204_4_10.pdf |
| Alternate Webpage(s) | https://doi.org/10.2139/ssrn.2309659 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
