Forecasting Portfolio Risk Estimation by Using Garch and Var Methods
Risk management or risk predicting are closely related with the market volatility which affect the return of portfolio estimation. Portfolio managers around the world concerned with risk estimation because portfolio risk management is part of their decision-making process. According to Hull (2006)...
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| Format: | Article |
| Language: | en |
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The International Institute for Science, Technology and Education
2012
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| Online Access: | http://umpir.ump.edu.my/id/eprint/6796/1/Forecasting_Portfolio_Risk_Estimation_by_Using_Garch_and_Var_Methods.pdf http://umpir.ump.edu.my/id/eprint/6796/ http://www.iiste.org/Journals/index.php/RJFA/article/viewFile/3814/3863 |
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| author | Noor Azlinna, Azizan Lee, Chia Kuang Zeenat, Ahmed |
| author_facet | Noor Azlinna, Azizan Lee, Chia Kuang Zeenat, Ahmed |
| author_sort | Noor Azlinna, Azizan |
| building | UMPSA Library |
| collection | Institutional Repository |
| content_provider | Universiti Malaysia Pahang Al-Sultan Abdullah |
| content_source | UMPSA Institutional Repository |
| continent | Asia |
| country | Malaysia |
| description | Risk management or risk predicting are closely related with the market volatility which affect the return of portfolio
estimation. Portfolio managers around the world concerned with risk estimation because portfolio risk management
is part of their decision-making process. According to Hull (2006), VaR is widely used by fund managers “to
provide a single number summarizing the total risk in a portfolio of financial assets.” Motivates from this, we
conducted an analysis to compare the effectiveness of VaR analysis and GARCH method in forecasting risk estimation. Risk manager can used the best methods in reducing their customers risk volatility and rank the risk level. |
| format | Article |
| id | my.ump.umpir.6796 |
| institution | Universiti Malaysia Pahang |
| language | en |
| publishDate | 2012 |
| publisher | The International Institute for Science, Technology and Education |
| record_format | eprints |
| spelling | my.ump.umpir.67962018-07-19T02:06:26Z http://umpir.ump.edu.my/id/eprint/6796/ Forecasting Portfolio Risk Estimation by Using Garch and Var Methods Noor Azlinna, Azizan Lee, Chia Kuang Zeenat, Ahmed HD61 Risk Management Risk management or risk predicting are closely related with the market volatility which affect the return of portfolio estimation. Portfolio managers around the world concerned with risk estimation because portfolio risk management is part of their decision-making process. According to Hull (2006), VaR is widely used by fund managers “to provide a single number summarizing the total risk in a portfolio of financial assets.” Motivates from this, we conducted an analysis to compare the effectiveness of VaR analysis and GARCH method in forecasting risk estimation. Risk manager can used the best methods in reducing their customers risk volatility and rank the risk level. The International Institute for Science, Technology and Education 2012 Article PeerReviewed application/pdf en cc_by http://umpir.ump.edu.my/id/eprint/6796/1/Forecasting_Portfolio_Risk_Estimation_by_Using_Garch_and_Var_Methods.pdf Noor Azlinna, Azizan and Lee, Chia Kuang and Zeenat, Ahmed (2012) Forecasting Portfolio Risk Estimation by Using Garch and Var Methods. Research Journal of Finance and Accounting, 3 (11). pp. 62-69. ISSN 2222-1697 (Print); 2222-2847 (Online). (Published) http://www.iiste.org/Journals/index.php/RJFA/article/viewFile/3814/3863 |
| spellingShingle | HD61 Risk Management Noor Azlinna, Azizan Lee, Chia Kuang Zeenat, Ahmed Forecasting Portfolio Risk Estimation by Using Garch and Var Methods |
| title | Forecasting Portfolio Risk Estimation by Using Garch and Var
Methods |
| title_full | Forecasting Portfolio Risk Estimation by Using Garch and Var
Methods |
| title_fullStr | Forecasting Portfolio Risk Estimation by Using Garch and Var
Methods |
| title_full_unstemmed | Forecasting Portfolio Risk Estimation by Using Garch and Var
Methods |
| title_short | Forecasting Portfolio Risk Estimation by Using Garch and Var
Methods |
| title_sort | forecasting portfolio risk estimation by using garch and var
methods |
| topic | HD61 Risk Management |
| url | http://umpir.ump.edu.my/id/eprint/6796/1/Forecasting_Portfolio_Risk_Estimation_by_Using_Garch_and_Var_Methods.pdf http://umpir.ump.edu.my/id/eprint/6796/ http://www.iiste.org/Journals/index.php/RJFA/article/viewFile/3814/3863 |
| url_provider | http://umpir.ump.edu.my/ |