Modeling and forecasting value-at-risk for the Portuguese stock market

• Author(s): Rodrigues, Andreia Sofia da Silva
• Date: 2015
• Persistent ID: http://hdl.handle.net/10362/15364
• Origin: Repositório Institucional da UNL
• Subject(s): Value-at-risk; Portuguese stock market; Volatility; Market conditions
• Document Type: Master thesis
• Language: English
• Advisor(s): Georgiev, Iliyan
• Contributor(s): RUN

Description

The aim of this work project is to find a model that is able to accurately forecast the daily Value-at-Risk for PSI-20 Index, independently of the market conditions, in order to expand empirical literature for the Portuguese stock market. Hence, two subsamples, representing more and less volatile periods, were modeled through unconditional and conditional volatility models (because it is what drives returns). All models were evaluated through Kupiec’s and Christoffersen’s tests, by comparing forecasts with actual results. Using an out-of-sample of 204 observations, it was found that a GARCH(1,1) is an accurate model for our purposes.

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