Open Access<i> Value at Risk </i> Dinâmico: um Estudo Comparativo entre os Modelos Heterocedásticos e a Simulação de Monte Carlo
Author(s) -
Marcos Roberto Góis de Oliveira,
Charles Ulises de Montreuil Carmona,
José Lamartine Távora
Publication year - 2006
Publication title -
revista brasileira de finanças
Language(s) - English
Resource type - Journals
eISSN - 1984-5146
pISSN - 1679-0731
DOI - 10.12660/rbfin.v4n2.2006.1161
Subject(s) - monte carlo method , simula , physics , mathematics , statistics , computer science , programming language
The objective of this paper was to analyze the risk management of aportfolio composed by Petrobras PN, Telemar PN and Vale do Rio Doce PNAstocks. It was verified if the modeling of Value-at-Risk (VaR) through theplace Monte Carlo simulation with volatility of GARCH family is supported byhypothesis of efficient market. The results have shown that the statisticevaluation in inferior to dynamics, evidencing that the dynamic analysissupplies support to the hypothesis of efficient market of the Brazilianshare holding market, in opposition of some empirical evidences. Also, itwas verified that the GARCH models of volatility is enough to accommodatethe variations of the shareholding Brazilian market, since the model iscapable to accommodate the great dynamic of the Brazilian market.