Studying the effects of USING GARCH-EVT-COPULA METHOD TO ESTIMATE VALUE AT RISK OF PORTFOLIO

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EMAMVERDI GHODRATOLLAH

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Journal Paper

Paper Information

Journal: IRANIAN JOURNAL OF FINANCE Year:2017 | Volume:1 | Issue:3 Page(s): 93-119

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Title

Studying the effects of USING GARCH-EVT-COPULA METHOD TO ESTIMATE VALUE AT RISK OF PORTFOLIO

Author(s)

EMAMVERDI GHODRATOLLAH | Issue Writer Certificate

Keywords

Value at Risk (VaR)

Copula

GARCH

Extreme Value Theory (EVT)

Backtesting

Abstract

Value at Risk (VaR) plays a central role in risk management. There are several approaches for the estimation of VaR, such as historical simulation, the variance-covariance and the Monte Carlo approaches. This work presents portfolio VaR using an approach combining Copula functions, Extreme Value Theory (EVT) and GARCH-GJR models. We investigate the interactions between Tehran Stock Exchange Price Index (TEPIX) and Composite NASDAQ Index. We first use an asymmetric GARCH model and an EVT method to model the marginal distributions of each log returns series and then use Copula functions (Gaussian, Student’ s t, Clayton, Gumbel and Frank) to link the marginal distributions together into a multivariate distribution. The portfolio VaR is then estimated. To check the goodness of fit of the approach, Backtesting methods are used. The empirical results show that, compared with traditional methods, the Copula model captures the value more successfully.

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APA: Copy

EMAMVERDI, GHODRATOLLAH. (2017). Studying the effects of USING GARCH-EVT-COPULA METHOD TO ESTIMATE VALUE AT RISK OF PORTFOLIO. IRANIAN JOURNAL OF FINANCE, 1(3), 93-119. SID. https://sid.ir/paper/353786/en

Vancouver: Copy

EMAMVERDI GHODRATOLLAH. Studying the effects of USING GARCH-EVT-COPULA METHOD TO ESTIMATE VALUE AT RISK OF PORTFOLIO. IRANIAN JOURNAL OF FINANCE[Internet]. 2017;1(3):93-119. Available from: https://sid.ir/paper/353786/en

IEEE: Copy

GHODRATOLLAH EMAMVERDI, “Studying the effects of USING GARCH-EVT-COPULA METHOD TO ESTIMATE VALUE AT RISK OF PORTFOLIO,” IRANIAN JOURNAL OF FINANCE, vol. 1, no. 3, pp. 93–119, 2017, [Online]. Available: https://sid.ir/paper/353786/en

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