IDEAS home Printed from https://ideas.repec.org/a/spt/apfiba/v4y2014i4f4_4_10.html
   My bibliography  Save this article

Estimating the VaR of Brazilian stock portfolios via GARCH family models and via Monte Carlo Simulation

Author

Listed:
  • Lucas Lucio Godeiro

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.

Suggested Citation

  • Lucas Lucio Godeiro, 2014. "Estimating the VaR of Brazilian stock portfolios via GARCH family models and via Monte Carlo Simulation," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 4(4), pages 1-10.
    • Handle: RePEc:spt:apfiba:v:4:y:2014:i:4:f:4_4_10
    as

    Download full text from publisher

    File URL: http://www.scienpress.com/Upload/JAFB%2fVol%204_4_10.pdf
    Download Restriction: no
    ---><---

    More about this item

    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:spt:apfiba:v:4:y:2014:i:4:f:4_4_10. 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: Eleftherios Spyromitros-Xioufis (email available below). General contact details of provider: http://www.scienpress.com/ .

    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.