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- W2537604309 abstract "The key to compute VaR is the covariance matrix of portfolio. However, in the classical multivariate GARCH model large-scale portfolio is highly parameterized and difficult to estimate in practice. So this paper uses O-GARCH model to calculate covariance matrix of portfolio. Then 12 samples of stocks in A stock market of Shanghai and Shenzhen is examined by this model. Finally, we can compute portfolio VaR, component VaR and marginal VaR by the covariance matrix of stocks portfolio." @default.
- W2537604309 created "2016-10-28" @default.
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- W2537604309 date "2008-12-01" @default.
- W2537604309 modified "2023-09-27" @default.
- W2537604309 title "Portfolio VaR Computation Based on O-GARCH" @default.
- W2537604309 cites W1999996900 @default.
- W2537604309 doi "https://doi.org/10.1109/wmso.2008.32" @default.
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