Cogito

GARCH Models and Value at Risk

Posted in Uncategorized by qmarks on November 3, 2009

engle_garch101_Page_03engle_garch101_Page_04

The figure explains that adding fixed income securities to your equity market portfolio will decrease the overall variance in the new created portfolio. The link below is the paper from Robert Engle, the creator of  the GARCH models and VaR process and gives a lecture to a lay man who studied Time Series Analysis. Delicious!

www-stat.wharton.upenn.edu/…/GARCH/garch101(ENGLE).pdf

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