Using MGARCH to Estimate Value at Risk | ||
| تحقیقات مالی | ||
| Article 5, Volume 15, Issue 2, November 2013, Pages 215-228 PDF (552.7 K) | ||
| Document Type: Research Paper | ||
| DOI: 10.22059/jfr.2013.51078 | ||
| Authors | ||
| Mohammad Reza Rostami1; Fatemeh Haqiqi* 2 | ||
| 1Assistant Prof., Finance, Alzahra University, Tehran, Iran | ||
| 2M.Sc., Finance, Alzahra University, Tehran, Iran | ||
| Abstract | ||
| In this paper we compared multivariate GARCH models to estimate Value-at-Risk. We used a portfolio of weekly indexes including TEDPIX, KLSE, XU100 during ten years. To estimate Value-at-Risk, first we estimated CCC, DCC of Engle, DCC of Tse and Tsui, Dynamic Equi correlation models by OxMetrics. Then, optimum lags were estimated by minimizing the information criteria. To estimate VaR, the models accuracy was validated by using variance-covariance matrix. The results show that although CCC model estimates variance matrix better, Dynamic Equi correlation is preferable to estimate Value-at-Risk, employing more complete correlation matrix. | ||
| Keywords | ||
| Conditional Dynamic Equi Correlation; MGARCH Models; Value at Risk | ||
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