Comparison of VaR Models to the Brazilian Stock Market Under the Hypothesis of Serial Independence in Higher Orders: Are Garch Models Really Indispensable?
Our objective in this article was to verify which models for the Value at Risk (VaR), among those that do not consider conditional volatility (Extreme Values Theory and the traditional Historical Simulation), and those that do consider it (GARCH and IGARCH), are adequate for the main index of the Br...
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| Autores principales: | , |
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| Formato: | article |
| Lenguaje: | EN PT |
| Publicado: |
FUCAPE Business School
2019
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| Materias: | |
| Acceso en línea: | https://doaj.org/article/9946750b8b8a4ceca6854b94f529e5e8 |
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