Abstract
This paper is a summary of the Arch models publicity since 1982 and their application on the Value at Risk of Portfolio, with an analysis of the impact of the bad news on the "market humors" and as a result on the assets volatility. It try to explain the different tests used on the selection of the best model for the estimation of the volatility. The results suggest that in our market, like in others, each series has its own "personality", so for each series I applied the model, which more fix to predict the volatility. I found how the returns on stocks are affected for the news, detecting euphoric markets (Merval 1990-1991) and markets strongly impacted by the crises.
Keywords: Arch, Garch, Egarch, Tarch, Value at Risk, Portfolio, Volatility, Fractal, Hurst
Volume
Washington
Year
2001
Categories
Actuarial Applications and Methodologies
Enterprise Risk Management
Risk Categories
Financial Risks
Financial and Statistical Methods
Statistical Models and Methods
Fractal Models
Financial and Statistical Methods
Risk Measures
Value-at-Risk (VAR);
Financial and Statistical Methods
Asset and Econometric Modeling
Publications
ASTIN Colloquium
