Verbeek, Marno; Rombouts, J.V.K. - Erasmus Research Institute of Management (ERIM), … - 2009
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...
