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Please use this identifier to cite or link to this item: http://hdl.handle.net/10400.5/675

Title: Volatility forecasts and value-at-risk estimation using TGARCH model
Authors: Ruivo, Sandra Cristina Rosa
Advisor: Nicolau, João
Keywords: Market Risk
Value-at-Risk
Volatility
Forecasting
TGARCH
Backtesting
Issue Date: May-2007
Publisher: Instituto Superior de Economia e Gestão
Citation: Ruivo , Sandra Cristina Rosa. 2007. "Volatility forecasts and value-at-risk estimation using TGARCH model". Dissertação de Mestrado. Universidade Técnica de Lisboa. Instituto Superior de Economia e Gestão.
Abstract: Value-at-Risk (VaR) has emerged in recent years as a standard tool to measure and control the risk, mainly the market risk, of financial portfolios. It measures the worst loss to be expected of a portfolio over a given time horizon at a given level of confidence. The calculation of Value-at-Risk commonly, involves estimation of the volatility return price and quantile of standardized returns. In this paper, two parametric techniques were used to estimate the volatility of the returns (market prices) of a Portuguese Financial Institution portfolio. Although to achieve the quantiles of standardized returns, both parametric technique and one nonparametric technique were considered. The quality of the measuring result was analysed through the backtesting technique for the forecasting multiperiod. In this study it is revealed that AR(1)-TGARCH methodology produces the most accurate VaR forecast, for one day holding period. The volatility forecasts for the two other holding periods, considering the three methodologies, revealed to be biased.
Description: Mestrado em Finanças
URI: http://hdl.handle.net/10400.5/675
Appears in Collections:DM - Dissertações de Mestrado / Master Thesis
BISEG - Dissertações de Mestrado / Master Thesis

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