2018, Volume 71 - Issue 2
RSS feed citation: At RePEc
Publication date: 02 May 2018
SOME INTERNATIONAL FINANCIAL CONTRIBUTIONS: EMPIRICAL RESULTS AND POLICY IMPLICATIONSRead the article
ASSESSING PORTFOLIO MARKET RISK IN THE BRICS ECONOMIES: USE OF MULTIVARIATE GARCH MODELSRead the article
BANK COMPETITION, CONCENTRATION AND RISK-TAKING IN THE UAE BANKING INDUSTRYRead the article
Lumengo BONGA-BONGA, University of Johannesburg, South Africa
Lebogang NLEYA, University of Johannesburg, Johannesburg,South Africa
This paper compares the performance of the different models used to estimate portfolio value-at-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.
C58, G11, G15
Portfolio Value-at-Risk, Multivariate GARCH, Risk Performance Measures, BRICS
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