Estimating the VAR (Value-at-Risk) of Brazilian Stock Portfolios via GARCH Family Models and via Monte Carlo Simulation

21 Pages Posted: 15 Aug 2013

See all articles by Lucas Godeiro

Lucas Godeiro

Federal Rural University of Semi-Arid - UFERSA

Date Written: August 13, 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.

Keywords: VaR, GARCH, Monte Carlo Simulation

JEL Classification: G17, C53

Suggested Citation

Godeiro, Lucas, Estimating the VAR (Value-at-Risk) of Brazilian Stock Portfolios via GARCH Family Models and via Monte Carlo Simulation (August 13, 2013). Available at SSRN: https://ssrn.com/abstract=2309659 or http://dx.doi.org/10.2139/ssrn.2309659

Lucas Godeiro (Contact Author)

Federal Rural University of Semi-Arid - UFERSA ( email )

Mossoró
Brazil
+55-3317-8555 (Phone)

HOME PAGE: http://www.ufersa.edu.br

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
177
Abstract Views
998
Rank
309,354
PlumX Metrics