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Estimando o VaR (Value-at-Risk) de carteiras via modelos da família GARCH e via Simulação de Monte Carlo
The objective this work is to calculate the VaR of portfolios via GARCH family models with normal and t-student distribution and via Monte Carlo Simulation. It was used three portfolios composite with preferential stocks of five companies of the Ibovespa. The results show that the t distribution adj
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