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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Main Authors:	Noor Azlinna, Azizan, Lee, Chia Kuang, Zeenat, Ahmed
Format:	Article
Language:	English
Published:	The International Institute for Science, Technology and Education 2012
Subjects:	HD61 Risk Management
Online Access:	http://umpir.ump.edu.my/id/eprint/6796/ http://umpir.ump.edu.my/id/eprint/6796/ http://umpir.ump.edu.my/id/eprint/6796/1/Forecasting_Portfolio_Risk_Estimation_by_Using_Garch_and_Var_Methods.pdf

id	ump-6796
recordtype	eprints
spelling	ump-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) http://www.iiste.org/Journals/index.php/RJFA/article/viewFile/3814/3863
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Malaysia Pahang
building	UMP Institutional Repository
collection	Online Access
language	English
topic	HD61 Risk Management
spellingShingle	HD61 Risk Management Noor Azlinna, Azizan Lee, Chia Kuang Zeenat, Ahmed Forecasting Portfolio Risk Estimation by Using Garch and Var Methods
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
author	Noor Azlinna, Azizan Lee, Chia Kuang Zeenat, Ahmed
author_facet	Noor Azlinna, Azizan Lee, Chia Kuang Zeenat, Ahmed
author_sort	Noor Azlinna, Azizan
title	Forecasting Portfolio Risk Estimation by Using Garch and Var Methods
title_short	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_sort	forecasting portfolio risk estimation by using garch and var methods
publisher	The International Institute for Science, Technology and Education
publishDate	2012
url	http://umpir.ump.edu.my/id/eprint/6796/ http://umpir.ump.edu.my/id/eprint/6796/ http://umpir.ump.edu.my/id/eprint/6796/1/Forecasting_Portfolio_Risk_Estimation_by_Using_Garch_and_Var_Methods.pdf
first_indexed	2023-09-18T22:02:53Z
last_indexed	2023-09-18T22:02:53Z
_version_	1777414515884818432

Forecasting Portfolio Risk Estimation by Using Garch and Var Methods

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