COMPARISON OF GARCH MODEL AND MONTE CARLO SIMULATION FOR ESTIMATING THE VALUE AT RISK OF FOREIGN EXCHANGE PORTFOLIO

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NASROLLAHI Z.; SHAHVIRI MINA; AMIRI MOJTABA

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Journal: JOURNAL OF SUSTAINABLE GROWTH AND DEVELOPMENT (THE ECONOMIC RESEARCH) Year:2011 | Volume:10 | Issue:4 Page(s): 117-141

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Title

COMPARISON OF GARCH MODEL AND MONTE CARLO SIMULATION FOR ESTIMATING THE VALUE AT RISK OF FOREIGN EXCHANGE PORTFOLIO

Author(s)

NASROLLAHI Z. | SHAHVIRI MINA | AMIRI MOJTABA | Issue Writer Certificate

Keywords

VALUE AT RISKQ2

GARCH MODELQ2

MONTE CARLO SIMULATIONQ2

FOREIGN EXCHANGE PORTFOLIOQ3

Abstract

One of the key concepts in risk managing of financial portfolios is the probability based risk measurement method known as VALUE AT RISK. During recent years, various methods have been introduced by researchers to compute this criterion. Because of their dissimilar assumptions and procedures, making the use of each of which creates different results. Therefore, this paper uses two main methods in order to measure the VALUE AT RISK of FOREIGN EXCHANGE PORTFOLIO. They comprise generalized autoregressive conditional heteroskedasticity model and MONTE CARLO SIMULATION. Using failure rate back testing, the results of these methods are compared. The results of the evaluation demonstrate that the mentioned methods have different performances.

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APA: Copy

NASROLLAHI, Z., SHAHVIRI, MINA, & AMIRI, MOJTABA. (2011). COMPARISON OF GARCH MODEL AND MONTE CARLO SIMULATION FOR ESTIMATING THE VALUE AT RISK OF FOREIGN EXCHANGE PORTFOLIO. JOURNAL OF SUSTAINABLE GROWTH AND DEVELOPMENT (THE ECONOMIC RESEARCH), 10(4), 117-141. SID. https://sid.ir/paper/86419/en

Vancouver: Copy

NASROLLAHI Z., SHAHVIRI MINA, AMIRI MOJTABA. COMPARISON OF GARCH MODEL AND MONTE CARLO SIMULATION FOR ESTIMATING THE VALUE AT RISK OF FOREIGN EXCHANGE PORTFOLIO. JOURNAL OF SUSTAINABLE GROWTH AND DEVELOPMENT (THE ECONOMIC RESEARCH)[Internet]. 2011;10(4):117-141. Available from: https://sid.ir/paper/86419/en

IEEE: Copy

Z. NASROLLAHI, MINA SHAHVIRI, and MOJTABA AMIRI, “COMPARISON OF GARCH MODEL AND MONTE CARLO SIMULATION FOR ESTIMATING THE VALUE AT RISK OF FOREIGN EXCHANGE PORTFOLIO,” JOURNAL OF SUSTAINABLE GROWTH AND DEVELOPMENT (THE ECONOMIC RESEARCH), vol. 10, no. 4, pp. 117–141, 2011, [Online]. Available: https://sid.ir/paper/86419/en

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