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- W1551708742 abstract "The objective this work is to calculate the VaR of portfolios via GARCH family models with normal and t-student distribution and via Monte Carlo Simulation. We used three portfolios composite with preferential stocks of five Ibovespa companies. The results show that the t distribution adjusts better to data, because the violation ratio of the VaR calculated with t distribution is less than the violation ratio estimated with normal distribution." @default.
- W1551708742 created "2016-06-24" @default.
- W1551708742 creator A5014615884 @default.
- W1551708742 date "2013-01-01" @default.
- W1551708742 modified "2023-09-23" @default.
- W1551708742 title "Estimating the VAR (Value-at-Risk) of Brazilian Stock Portfolios via GARCH Family Models and via Monte Carlo Simulation" @default.
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- W1551708742 doi "https://doi.org/10.2139/ssrn.2309659" @default.
- W1551708742 hasPublicationYear "2013" @default.
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