Abstract

RESTREPO E., María Isabel. Estimación de valor de la cartera en riesgo con los modelos GARCH y MGARCH. Perf. de Coyunt. Econ. [online]. 2012, n.19, pp.77-92. ISSN 1657-4214.

The aim of this paper is to estimate GARCH models, univariate and multivariate, for the daily returns of a portfolio consisting of five Colombian financial market assets, in order to evaluate which shows better performance in estimating the Value at Risk of the portfolio. To calculate VaR, with a confidence level of 95%, equal weight is assigned to the assets in the portfolio. The results show that the univariate GARCH models outperform the MGARCH in estimating the VaR of the portfolio.

Keywords : GARCH models; MGARCH models; Value at Risk.

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