IJSRP, Volume 8, Issue 2, February 2018 Edition [ISSN 2250-3153]
Mr. RAFIKI MURENZI
Abstract:
This research develops a model to forecast portfolio risk such as VaR (Value-at-Risk) and ES (Expected Shortfall) using GARCH-EVT (extreme value theory)-Copula based approach. We first extract the filtered residuals from each return series through an asymmetric GJR-GARCH-ARMA (1,1) model, residuals show the presence of fat tail