Template-Type: ReDIF-Paper 1.0
Author-Name: Rombouts, J.V.K.
Author-Name-Last: Rombouts
Author-Name: Verbeek, M.J.C.M.
Author-Name-Last: Verbeek
Author-Name-First: Marno
Author-Person: pve266
Title: Evaluating Portfolio Value-At-Risk Using Semi-Parametric GARCH Models
Abstract: In this paper we examine the usefulness of multivariate semi-parametric GARCH models for evaluating the Value-at-Risk (VaR) of a portfolio with arbitrary weights. We specify and estimate several alternative multivariate GARCH models for daily returns on the S&P 500 and Nasdaq indexes. Examining the within sample VaRs of a set of given portfolios shows that the semi-parametric model performs uniformly well, while parametric models in several cases have unacceptable failure rates. Interestingly, distributional assumptions appear to have a much larger impact on the performance of the VaR estimates than the particular parametric specification chosen for the GARCH equations.
Creation-Date: 2009-01-28
File-URL: https://repub.eur.nl/pub/1833/ERS-2004-107-FA.pdf
File-Format: application/pdf
Series: RePEc:ems:eureri
Number: ERS-2004-107-F&A
Classification-JEL: C14, C22, C53, G11, G3, M
Keywords: asset allocation, multivariate GARCH, semi-parametric estimation, value-at-risk
Handle: RePEc:ems:eureri:1833