Dynamic Value at Risk: A Comparative Study Between Heteroscedastic Models and Monte Carlo Simulation
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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.
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How to Cite
Oliveira, M. R. G. de, Carmona, C. U. de M., & Távora Junior, J. L. (2006). Dynamic Value at Risk: A Comparative Study Between Heteroscedastic Models and Monte Carlo Simulation. Brazilian Review of Finance, 4(2), pp. 181–202. https://doi.org/10.12660/rbfin.v4n2.2006.1161
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Long Paper
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