Shayya, Reem; Sorrosal-Forradellas, Maria Teresa; … - 2023
This paper presents an estimation of Value at Risk (VaR) using Monte Carlo Simulation (MCS) under the symmetric GARCH (1,1) model in three different markets, United States, Eurozone and Japan, represented by the indexes Dow Jones Industrial Average, Euro Stoxx 50 and Nikkei 225 respectively,...