Author： Rombouts Jeroen Verbeek Marno
Publisher： Routledge Ltd
ISSN： 1469-7688
Source： Quantitative Finance, Vol.9, Iss.6, 2009-09, pp. : 737-745
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Abstract
In this paper we examine the usefulness of multivariate semi-parametric GARCH models for evaluating the Value-at-Risk (VaR) of a portfolio with arbitrary weights. We specify and estimate several alternative multivariate GARCH models for daily returns on the S&P 500 and Nasdaq indexes. Examining the within-sample VaRs of a set of given portfolios shows that the semi-parametric model performs uniformly well, while parametric models in several cases have unacceptable failure rates. Interestingly, distributional assumptions appear to have a much larger impact on the performance of the VaR estimates than the particular parametric specification chosen for the GARCH equations.
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