CALCULATION OF VALUE AT RISK FOR PORTFOLIO OF COIN AND BOURSE INDEX; COMPARING TO MODELS: GARCH AND M-GARCH

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RAEI REZA; KHAJEH HAGHVERDI SOROUSH; HAJIESMAEILI MOHAMMADREZA

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Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2016 | Volume:6 | Issue:25 Page(s): 63-80

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Title

CALCULATION OF VALUE AT RISK FOR PORTFOLIO OF COIN AND BOURSE INDEX; COMPARING TO MODELS: GARCH AND M-GARCH

Author(s)

RAEI REZA | KHAJEH HAGHVERDI SOROUSH | HAJIESMAEILI MOHAMMADREZA | Issue Writer Certificate

Keywords

VALUE AT RISKQ2

BACK-TESTINGQ1

MULTIVARIATE GARCHQ2

GARCHQ2

Abstract

This paper apply GARCH and M-GARCH for estimating VALUE AT RISK of portfolio including coin and stock exchange index from beginning of 2008 until beginning of 2014. Generally there is three approaches called parametric, nonparametric and semi-parametric for estimating VALUE AT RISK. Since volatilities contagion between different markets, it’s required to use M-GARCH. Among M-GARCH models, BEKK model is more appropriate for two-variable series. In this paper GARCH and M-GARCH are applied. Then we compare results of models with BACK-TESTING. Conclusion of this research states as we expect M-GARCH has better and more accurate performance rather than GARCH for calculating VALUE AT RISK of portfolio.

Cites

LIQUIDITY-ADJUSTED INTRADAY VALUE AT RISK MODELING AND RISK MANAGEMENT: BY USING VECTOR AUTO REGRESSION (VAR)

References

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APA: Copy

RAEI, REZA, KHAJEH HAGHVERDI, SOROUSH, & HAJIESMAEILI, MOHAMMADREZA. (2016). CALCULATION OF VALUE AT RISK FOR PORTFOLIO OF COIN AND BOURSE INDEX; COMPARING TO MODELS: GARCH AND M-GARCH. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 6(25), 63-80. SID. https://sid.ir/paper/197679/en

Vancouver: Copy

RAEI REZA, KHAJEH HAGHVERDI SOROUSH, HAJIESMAEILI MOHAMMADREZA. CALCULATION OF VALUE AT RISK FOR PORTFOLIO OF COIN AND BOURSE INDEX; COMPARING TO MODELS: GARCH AND M-GARCH. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2016;6(25):63-80. Available from: https://sid.ir/paper/197679/en

IEEE: Copy

REZA RAEI, SOROUSH KHAJEH HAGHVERDI, and MOHAMMADREZA HAJIESMAEILI, “CALCULATION OF VALUE AT RISK FOR PORTFOLIO OF COIN AND BOURSE INDEX; COMPARING TO MODELS: GARCH AND M-GARCH,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 6, no. 25, pp. 63–80, 2016, [Online]. Available: https://sid.ir/paper/197679/en

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