Timeline for Multivariate GARCH with respect to Value at Risk
Current License: CC BY-SA 3.0
4 events
| when toggle format | what | by | license | comment | |
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| Dec 24, 2014 at 16:08 | comment | added | Aksakal | If you this method you are accounting for all the correlation implicitly. | |
| Dec 24, 2014 at 16:06 | comment | added | DavidjeK | Well, correct me if I'm wrong, but the main advantage of using multivariate GARCH is to account for time-varying correlation between the individual assets. My study field is based on the difference of Emerging-Developed markets, and for that reason it is very important to take this time-varying correlation into account. By using multivariate GARCH I obtained the daily conditional variance of the portfolio. It is unclear to me with which density function it should be multiplied to obtain the Value at Risk. Historical would indeed solve this problem, but research showed it's inaccruacy. | |
| Dec 24, 2014 at 15:41 | history | edited | Aksakal | CC BY-SA 3.0 |
added 145 characters in body
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| Dec 24, 2014 at 15:36 | history | answered | Aksakal | CC BY-SA 3.0 |