IDEAS home Printed from https://ideas.repec.org/a/brf/journl/v4y2006i2p181-202.html
   My bibliography  Save this article

Dynamic Value at Risk: A Comparative Study Between Heteroscedastic Models and Monte Carlo Simulation

Author

Listed:
  • Marcos Roberto Gois de Oliveira

    (Universidade Federal de Pernambuco)

  • Charles Ulises de Montreuil Carmona

    (Departamento de Ciências Administrativas, Universidade Federal de Pernambuco (UFPE))

  • José Lamartine Távora Junior

    (Departamento de Economia, Universidade Federal de Pernambuco (UFPE))

Abstract

The objective of this paper was to analyze the risk management of a portfolio composed by Petrobras PN, Telemar PN and Vale do Rio Doce PNA stocks. It was verified if the modeling of Value-at-Risk (VaR) through the place Monte Carlo simulation with volatility of GARCH family is supported by hypothesis of efficient market. The results have shown that the statistic evaluation in inferior to dynamics, evidencing that the dynamic analysis supplies support to the hypothesis of efficient market of the Brazilian share holding market, in opposition of some empirical evidences. Also, it was verified that the GARCH models of volatility is enough to accommodate the variations of the shareholding Brazilian market, since the model is capable to accommodate the great dynamic of the Brazilian market.

Suggested Citation

  • Marcos Roberto Gois de Oliveira & Charles Ulises de Montreuil Carmona & José Lamartine Távora Junior, 2006. "Dynamic Value at Risk: A Comparative Study Between Heteroscedastic Models and Monte Carlo Simulation," Brazilian Review of Finance, Brazilian Society of Finance, vol. 4(2), pages 181-202.
    • Handle: RePEc:brf:journl:v:4:y:2006:i:2:p:181-202
    as

    Download full text from publisher

    File URL: http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/download/1161/362
    Download Restriction: no
    File URL: http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/1161
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    dynamic analysis; Monte Carlo simulation; value at risk;
    All these keywords.

    JEL classification:

    • G19 - Financial Economics - - General Financial Markets - - - Other
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:brf:journl:v:4:y:2006:i:2:p:181-202. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Marcio Laurini (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.