Estimation of value at risk by using gjr-garch copula based on block maxima

conditional copula-garch methods for value at risk of portfolio: the case of tehran stock exchange market

ارزش در معرض ریسک یکی از مهمترین معیارهای اندازه گیری ریسک در بنگاه های اقتصادی می باشد. برآورد دقیق ارزش در معرض ریسک موضوع بسیارمهمی می باشد و انحراف از آن می تواند موجب ورشکستگی و یا عدم تخصیص بهینه منابع یک بنگاه گردد. هدف اصلی این مطالعه بررسی کارایی روش copula-garch شرطی در برآورد ارزش در معرض ریسک پرتفویی متشکل از دو سهام می باشد و ارزش در معرض ریسک بدست آمده با روشهای سنتی برآورد ارزش د...

Estimation of Value at Risk (VaR) Based On Lévy-GARCH Models: Evidence from Tehran Stock Exchange

This paper aims to estimate the Value-at-Risk (VaR) using GARCH type models with improved return distribution. Value at Risk (VaR) is an essential benchmark for measuring the risk of financial markets quantitatively. The parametric method, historical simulation, and Monte Carlo simulation have been proposed in several financial mathematics and engineering studies to calculate VaR, that each of ...

estimating value at risk of portfolio of oil and gold by copula-garch method

copula functions are powerful tools that describe dependence structure of multi- dimension random variables and are considered as one of the newest tools for risk management. one application of copula functions in risk management is calculating value at risk that can assert is the most widely used risk measures in financial institutions. in this article which primary goal is estimating more acc...

Estimation of Tail Thickness Parameters from GJR-GARCH Models∗

We propose a method of estimating the Pareto tail thickness parameter of the unconditional distribution of a financial time series by exploiting the implications of a GJR-GARCH volatility model. The method is based on some recent work on the extremes of GARCH-type processes. We show that the estimator of tail thickness is consistent and converges at rate √ T to a normal distribution (where T is...

Forecasting Value-at-risk by Using Garch Models