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- Title
ASSESSING PORTFOLIO MARKET RISK IN THE BRICS ECONOMIES: USE OF MULTIVARIATE GARCH MODELS.
- Authors
BONGA-BONGA, LUMENGO; NLEYA, LEBOGANG
- Abstract
This paper compares the performance of the different models used to estimate portfolio valueat- risk (VaR) that combines assets in the currency and equity markets in the BRICS economies. Portfolio VaR is estimated with three different multivariate risk models, namely the constant conditional correlation (CCC), the dynamic conditional correlation (DCC) and asymmetric DCC (ADCC) GARCH models. Risk performance measures such as the average deviations, quadratic probability function score and the root mean square error are used to back-test the performance of the models at 99%. The results indicate that portfolios with more weight to currency and less to equities prove to be the best way of minimizing possible losses when investing in BRICS.
- Subjects
BRICS countries; INVESTMENTS; INVESTMENT risk; MULTIVARIATE analysis; GARCH model; STOCHASTIC models
- Publication
International Economics / Economia Internazionale, 2018, Vol 71, Issue 2, p87
- ISSN
0012-981X
- Publication type
Article