.

. .
MSc (..../ )
Team Site: A.E.A.C. Co. Project Manager-Site Administrator
e-mail: s_4goum@yahoo.com, My Blog, Twitter, Linkedin
05/12/2017

..... 2
..... 2
...... 3
... 5
....... 8
...... 10
...... 13
.... 14
. Dickey-Fuller.... 15
ARCH-GARCH..... 16

Delta- Normal.... 18
Historical Simulation.... 18
Arch- Garch.... 19
Monte Carlo Simulation.... 21
E
.... 22
...... 26
Arch- Garch....... 27
VaR
VaR Delta-Normal 29
VaR Historical Simulation 30
VaR Arch-Garch . 32
VaR Monte Carlo .. 34
VaR 35
. 37
- ... 39
. 41

. Delta- Normal,
(Historical Simulation), Monte Carlo GARCH.
.
, ,
.
,
.

.

Keywords: value at risk, VaR, VaR estimation, risk measure, monte carlo simulation,
variance-covariance, delta-normal, historical simulation, arch, garch, portfolio, financial
analysis, systematic risk, non-systematic risk, excel VaR, Eviews VaR.

, ,

. , ()

.
,

.

(variation- volatility) .

,
( ) ( ).

/ .
.
1)
2)
3)
4)
5) -
6)
7)
8)
9)

.

1)
2)
3) /
4)
5)

- .
(business risk).
.
( ).
.
(financial risk).
. (
) .

3
/ (operational risk).

,
.
(credit risk).
.
(credit event).
(.. , ),

.
(liquidity risk).
.

, .

(), (
+ + ) . ,
(>1),
.

.
, .

.

(derivatives).
( -
),
.
, 10 ,
.
,
4
 (
). ,

. ,
(.. 9 ),
, ,
.

(portfolio diversification),
- .
,
.
,
.

,
.

, .

,
,
,

.

5
,
1) Markowitz (1952)
2) (Capital Asset Pricing
Model- CAPM) Jack Treynor William F. Sharpe (1961-1964)
3) Black-Scholes-Merton (1973)
4) Stress testing (Basel I- 1992)
5) Value at Risk ( 1990)
6) RiskMetrics (1994 J.P Morgan Reuters)

,
(.
GARCH, Monte Carlo, )

1) Markowitz.

.
2) (CAPM) 1.

( ) (). beta
[Ra= Rf+beta*(Rm-Rf)],
(.. ).
3) Black-Scholes-Merton 2.

.
(risk
free). ,
,
arbitrage.
4) Stress testing. ,
,
1
Ra= Rf+beta*(Rm-Rf)1], Ra , Rf , Rm
(.. ), beta beta (
)
2
(Call Option): C(St,t)=N(d1)*St - N(d2)*K*e-r*(T-t)
(Put Option): P(St,t)= N(-d2)*K*e-r*(T-t) - N(-d1)*St
6
 .

.

5) Value at Risk (VaR).
,
,
. :
1.000 Dow Jones.
VaR Dow Jones =5% (95% )
t=1 VaR= -2%.
Max Loss=
-2% * 1.000= 20 euro
6) RiskMetrics.
, (..
, ,
).

, .

.
.

1) Delta-Normal Variance- Covariance.

(,).
,
,
. ,
.
2) Delta-Gamma. , ,
,
-
.
3) (Historical Simulation).
(.. )
,
.
,

.
4) GARCH models. GARCH (p,q)

,
. GARCH(p,q)
( ,
- , , ..).
(..
) GARCH(p,q) .

8

.
5) Monte Carlo.
(1940).
(- - ),
, (
), ,
(, , ),

.
, David B. Hertz
(1964). 3,
(
) .

,
,
,

.

3
Monte Carlo, ,
, .
9


2003, Timotheos Aggelidis, Alexandros Benos Stavros

Degiannakis, GARCH,
1987-2002 SP500, Nikkei225, FTSE100, CAC40,
DAX30, (VaR). ,

GARCH (GARCH, EGARCH, TARCH 4)
.
- 500, 1000, 1500 2000 ,
(95% 99%)
(t-student, Normal, GED).
EGARCH, ,
GED t-student, VaR
.
2013 Gentjan Cera, Edmond Cera Gerdi Lito,
2002-2013, GARCH
(Euro-EUR)
(Albanian Lek-ALL). ,

EURO/ALL. GARCH(1,1),
VaR,
VaR.
1999, Rob van den Goorbergh Peter Vlaar,
(Historical Simulation, Variance Techniques, Tail Index
Estimation) VaR () Dow Jones
(). 1987-1998,
Dow Jones 1950-1998.
VaR
(volatility). GARCH
. (tails)

4
EGARCH: ,

TARCH: ,

10
 (fat tail)
, =1%,
t-student ,
=5%,
. (Historical Simulation),

- 250 .
- (500 ),
VaR. ,
Tail Index Estimation,
.
2005 Rajesh Kondapaneni, VaR Delta-
Normal Historical Simulation
2001-2003.
( 11/2001-02/2002, 03/2002-02/2003, 03/2003-05/2003)
,
, Delta- Normal
Historical Simulation.
, Historical Simulation
Delta- Normal.
,
Delta- Normal .
Historical Simulation -
,
Delta- Normal.
Manohar Lal 2012,

call option 2004-
2007. Monte Carlo, Historical Simulation Variance (Delta-
Normal) VaR , (1-day VaR), (5-day VaR)
(10-day VaR), =1% =5%.
Monte Carlo VaR
1% 5%, -
(call option) .
11
 Historical Simulation Variance (Delta-Normal)
- call option
Monte Carlo.
2006 Luiz Koodi Hotta , Edimilson C. Lucas Helder P. Palaro,
03/2007
07/2000 BOVESPA MERVAL .
- Extreme Value Theory
(EVT) Copula Theory GARCH(1,1),
VaR 5% 1%,
.
To 2006, Bao Yong, Tae -Hwy Lee Burak Saltoglu
1988-1998,
, , , ,
Value at Risk 1997-1999.
,
.
01/01/1988 31/12/1995,
01/01/1996
31/12/1996.
.
01/01/1988 30/06/1997,
01/07/1997
30/06/1998.
.
01/01/1988 31/12/1998,
01/01/1999
31/12/1999.
.
VaR,
, 1) GARCH, 2) Historical Simulation, 3)
Monte Carlo, 4) Nonparametric Estimated Distribution (NP), 5) Extreme Value
Distributions (EVD), 5) Generalized Extreme Value Distribution (GEV),
5) Generalized Pareto Distribution (GP), 5) Hill Estimator,
Extreme Value Theory (EVT) , 6) CaViaR.

12
 Extreme Value
Distributions,
. GARCH
, CaViaR
,
Extreme Value Distributions.
VaR (Historical Simulation, Monte Carlo,
Nonparametric Estimation),
,
.

04/05/2016 04/05/2017.


ln( ) . 10.000
1

.
VaR,
=5% .
VaR(1-day, =5%)

(.zip) Eviews & Excel

13


.
1) Dickey-Fuller ( ) ARCH(p)
1) (VaR): Delta-Normal, Historical
Simulation, ARCH-GARCH, Monte Carlo
2) ( , )
()
3) (stationary)
, (0), , (1), Dickey-Fuller
ARCH(p)
4) Delta- Normal, ARCH-GARCH
Value at Risk .

Excel
Eviews 9. Excel VaR
Delta-Normal, Historical Simulation Monte Carlo, Eviews 9
ARCH-GARCH.
VaR,
=5% , VaR(1-day, =5%)

14
 . Dickey-Fuller

. ,
, (0)
(1).
,
,
.
,
, (1),
D[ln(Yt)]= ln(Yt)- ln(Yt-1)=ln(Yt/Yt-1)= r,
.

-
AR():
Yt =+ 1*Yt-1+ 2*Yt-2+ 3*Yt-3++ *Yt-+ *t+ ut ( )
Yt =+ *t + *Yt-1+ 1*Yt-1+ 2*Yt-2++ -1*Yt-+1 + ut
( Yt= Yt -Yt-1, Yt-1= Yt-1 -Yt-2 ..).

p 1
Yt =+ *t + *Yt-1+
i
i * t i
=1

( , --,
--, )

Dickey-Fuller (ADF)

H0: =0 ( / )
H1: <0 ( / )
ADF statistic < ADF, 0
.

15
 ARCH-GARCH

arch-garch 5
.
, ,

/ .

arch(p)
p
Var(ut)= 0 + a i * u 2t -i , ARCH(p)
i =1

garch(p,q) arch
,

p q
Var(ut)= 0 + a i * u t2i + * Var (u t i ) , GARCH(p,q)
i =1 i =1

p q
a i * u 2t -1 arch
i =1

i =1
*Var (ut i ) garch

5
ARCH (AutoRegressive Conditional Heteroskedastity)
GARCH (General AutoRegressive Conditional Heteroskedastity

16
 ARCH(p)

yt t
t =t*zt , t
, zt
.

ARCH
:
t2 = 0 + 1 * u 2t -1 + 2 * u 2
t -2 + + p * u 2
t -p

p
Var(ut)= 0 + a i * u 2t -i
i =1

q
, yt= 0 + a i * yt i + t ,
i =1

AR(q) yt, t.
p
, 2t = b 0 + b i * 2t -i
i =1

p (lags) bi

Arch(p)

0: b1=.=bp=0 / arch(p)
1: b <>0 / arch(p)
|t-stat| bi > t-critical (z0.05) 0

17
 (VaR)

) DELTA-NORMAL

Delta-Normal,
(,),
.

, (, ),
. Delta- Normal
, VaR
. VaR

.
,
, Delta- Normal
.
(.. , ), Delta-Normal
VaR

) HISTORICAL SIMULATION

Historical Simulation,
, .

,
.

,
,
.

18
 .
.
Historical Simulation,
, ,
.

,
,
(, ).
,
VaR.
, Historical Simulation
. (..
, ), VaR .

) ARCH-GARCH

Arch(p)- Garch(p,q)
.
(, ),
. Arch- Garch,
,
.
,
Arch-Garch.
Robert Engle (1942-),
Clive Granger (1934-2009) (2003)
- .

.

19
-- ARCH- GARCH

p
1) ARCH(p): Var(ut)= 0 + a i * u 2t -i
i =1
p q
2) GARCH(p,q): Var(ut)= 0 + a i * u t2i + * Var (u t i ) ,
i =1 i =1

-- ARCH- GARCH

1) TGARCH(p,q,r)- Threshold GARCH:

p q r
Var(ut)= 0 + a i * u t2i + *Var (u t i ) + i * u t2i * Dt i
i =1 i =1 i =1

2) EGARCH(p,q,r)- Exponential GARCH:

q p | | | | r
Log[Var(ut)]= c + i * log 2
+ i * t i E t i + i * t i
t -i t -i i =1 t -i
t -i
i =1 i =1

3) PARCH(p,q,r)- Power ARCH:

p q
Var(ut)= 0 + a i * (| t i | * t i ) r + i *Var (u t i ) r ,
i =1 i =1

4) QGARCH(p,q)- Quadric GARCH:

p q
Var(ut)= 0 + a i * u 2
t i + *Var (u t i ) + * t -1 ,
i =1 i =1

IGARCH (Integrated GARCH), NGARCH (

Non-Linear GARCH), COGARCH (Continuous time GARCH) .
ARCH-GARCH,
(EViews, SPSS) ,

.
,

20

.
ARCH-GARCH
,
, VaR .

) MONTE CARLO SIMULATION

Monte Carlo, Monte Carlo ,

.
, ,
,
,
.
,
, ,
.
, .
,
.
,
.
,
. ,
Monte Carlo,
,
.

21


1)

1.

0,000946
0,001439
M 0,05262
-0,14413
0,000271
. 0,016457
-2,7342
26,3422

,
( >3)
( <0).

:
(Eviews & Excel) VaR

22
 1.

Rate
0,1

0,05

0
Axis Title

-0,05 Rate

-0,1

-0,15

-0,2

2.

60

50

40

30

20

10

0
-0.125 -0.100 -0.075 -0.050 -0.025 0.000 0.025 0.050

23
 3.

Index Price
800

700

600

500

400

300 Index Price

200

100

( 1 2) .

,
, .
ARCH-GARCH . 2016
,

.
1 ( 2),
,
,
.
3,
/2016
/2016.
,
24
 .

/2017 /2017

.
,
,

.
, .
,
,

( ,
)

25
 2)

p 1
Yt =+ *t + *Yt-1+
i
i * t i
=1

Dickey-Fuller

I) (. Eviews File / unit_root_i0_index_xaa)

2.

ADF- ADF- ADF- .
ADF- stat t- Stat t- Stat
Critical (<0) Critical (=0) Critical (=0)

0,77 -1,94 2,081 2,78 0,528 2,25

* =5%

, (0), .

II) (. Eviews File / unit_root_i1_index_xaa)

3.

ADF- ADF- ADF- .
ADF- stat t- Stat t- Stat
Critical (<0) Critical (=0) Critical (=0)

-12,39 -3.41 0,099 1,64 -1,019 1,64

* =5%

. ,

(1), .

26
 3) ARCH-GARCH

ARCH(p)-GARCH(p,q),
VaR(1-day,=5%).
ARCH(p)-GARCH(p,q)
ARCH(1), ARCH(2), GARCH(1,1), GARCH(2,1), GARCH(2,2),

yt= 0 + Var (u t )
p q
Var(ut)= 0 + a i * u 2
t i + * Var (u t i ) ,
i =1 i =1

yt .

0: 1=.==0 1=.==0 / arch(p)

1: <>0 <>0 / arch(p)

ARCH test 4.

4.
t-stat ARCH(p) t-stat GARCH(q) t-critical ARCH(p) //
(=5%) GARCH(q)
ARCH(1) 1.6408 1,64 ** //
ARCH(2) 1.433 // 0.452 1,64 - //
GARCH(1,1) 2.886 10.379 1,64 //
GARCH(2,1) 1.513 // 2.001 7.11 1,64 - //
GARCH(2,2) 1.158 // 3.179 15.08 // -9.682 1,64 - // -
* =5%
** =10%

27
 ARCH-
GARCH
VaR GARCH(p,q).

.

(. i Eviews var_index_xaa.wf1 : arch1_r_xaa,

arch2_r_xaa, garch11_r_xaa, garch21_r_xaa, garch22_r_xaa //
t-stat & probs resids^2 & garch)

28
 VaR

) VaR DELTA-NORMAL
(. Excel VaR approach.xls: Approach Tab Delta-Normal)

Delta- Normal,
, yt~N(,),
.


.
VaR.
=5% (1-day ahead),

(Cumulative Distribution Function-
CDF) =5% (Z0.05=-1,645).

VaR(1-day, =5%)= -271

p=95%
10.000 -271 .

29
) VaR HISTORICAL SIMULATION
(. Excel VaR approach.xls: Approach Tab Historical
Simulation)

Historical Simulation,

.
o
Historical VaR,
(10.000 ).
VaR,
, 252 .
VaR
Excel.

Historical VaR
VaR. , 5% (=5%)
, 252*5%=13.
13, Historical VaR,
VaR(1-day, =5%)=-227,45, Excel.

p=95%
10.000 -227,45 .

, PERCENTILE,
x- .
Historical VaR,
.
VaR(1-day,=5%),
PERCENTILE, Historical VaR
5% .
VaR(1-day, =5%)=-215,20

p=95%
10.000 -215,20 .
30
 ,
Historical VaR =5%
, 5%
Historical VaR. VaR
VaR . VaR
n, VaR
+ +1 + 1
.
2 2

Excel, , VaR
13 VaR(1-day, =5%)= -227,45.
14 VaR=-205,18.
VaR VaR(1-day, =5%)= -215,20,
13 14.
,
(PERCENTILE) .

31
) VaR ARCH-GARCH
(. Eviews var_index_xaa.wf1. )

VaR ARCH-GARCH,
Eviews 9.
:

.

VaR(1-day, =5%).
, ,
VaR. ,
: ARCH(1), ARCH(2), GARCH(1,1),
GARCH(2,1), GARCH(2,2). (. Eviews: arch1_r_xaa, arch2_r_xaa,
garch11_r_xaa, garch21_r_xaa, garch22_r_xaa)

ARCH-GARCH VaR(1-day, =5%).

ARCH(1): Var(ut)= 0 + 1 * u t21

ARCH(2): Var(ut)= 0 + 1 * u t21 + 2 * u t22

GARCH(1,1): Var(ut)= 0 + 1 * u t21 + 1 *Var (u t 1 )

GARCH(2,1): Var(ut)= 0 + 1 * u t21 + 2 * u t22 + 1 *Var (u t 1 )

GARCH(2,2): Var(ut)= 0 + 1 * u t21 + 2 * u t22 + 1 *Var (u t 1 ) + 2 *Var (u t 2 )

.
(. Eviews variance_arch1, variance_arch2, variance_garch11,
vaiance_garch21, variance_garch22)
,
VaR(1-day, =5%) ARCH-GARCH
,
=5% (Z0.05=-1,645)
( Eviews var95_arch1,
var95_arch2, var95_garch11, var95_garch21, var95_garch22)
32
 VaR(1-day, =5%) ARCH-GARCH,
(violation) VaR(1-day, =5%),

VaR(1-day, =5%).
violation_var (. Eviews violation_var_arch1, ..
violation_var_garch22)
number of violation var
total number of observation

=5%
ARCH-GARCH. (. Eviewsvar_violation_r_xaa)

5. (. Eviews var_violation_r_xaa)
VaR violation (=5%) ARCH(1) 0.03968
VaR violation (=5%) ARCH(2) 0.03968
VaR violation (=5%) GARCH(1,1) 0.04761
VaR violation (=5%) GARCH(2,1) 0.04761
VaR violation (=5%) GARCH(2,2) 0.04761 *. . 44

GARCH(1,1),
GARCH(2,1) GARCH(2,2).
GARCH .

GARCH(1,1)
VaR (. Eviews MAX_LOSS)

10.000
VaR(1-day, =5%)
var95_garch11 Eviews
(10.000)

VaR(1-day, =5%)=-295,78 (. Eviews max_loss).

p=95%
10.000 -295,78 .
33
) VaR MONTE CARLO
(. Excel VaR approach.xls: Approach Tab Monte Carlo)

Monte Carlo, ,

.
, - .

,
.
Monte Carlo
VaR.
VaR .
() ()
, Monte Carlo,
, yt,
yt ~(,), (,) .
1255
yt ~(,).
VaR(1-day,5%).
PERCENTILE Excel, x-
.
(=1255)
(yt), =5% VaR(1-day,
=5%) 10.000 .

Monte Carlo VaR(1-day, =5%)=-255,71

p=95%
10.000 -255,71 .

: excel, VaR
Monte Carlo, .
. F9 Monte
Carlo, VaR

34
 VaR

6.
VaR(1-day, =5%)
( : 10.000)
Delta-Normal method -270,70
Historical Simulation (PERCENTILE) -215,20
Historical Simulation -227,45
GARCH(1,1) model -295,78
Monte Carlo Simulation -255,71

. VaR
Historical Simulation GARCH(1,1).

VaR
(. Excel VaR approach.xls: Tab Models Comparison)

.
.
) ()
5% (=5%) . 252 ,
5% * 252 = 13 .
violation=13. O
VaR(=5%). , =5%, 13
(violations) VaR(=5%) .
) , VaR(=5%) ,

( 6)

) , ()
VaR(1-day, =5%) .

35
 7.

=5%, ( VIOLATIONS)
%VaR(1-day, =5%) // [
%VaR(1-day, =5%) ( VIOLATIONS) %VaR(1-day, =5%)]
Delta Normal -2,7070% 13 11
Historical Simulation
(PERCENTILE) -2,1521% 13 13
Historical Simulation -2,2746% 13 12
Monte Carlo -2,8004% 13 11
GARCH(1,1) -2,9500% 13 12

VaR,
/ VIOLATIONS , VaR

VIOLATIONS.
Historical Simulation
(PERCENTILE), Percentile
5% , Historical Simulation GARCH(1,1)
violations=12 Delta- Normal Monte Carlo
violations=11. violations
violations,
.
VaR,
violations violations
.
Historical Simulation (PERCENTILE),
GARCH

VaR ,
Monte Carlo,

VaR.

36


,
, .

.
VaR
(Delta- Mormal, ARCH-GARCH, Historical Simulation, Monte Carlo),
VaR,

.

04/05/2016 04/05/2017
VaR =5% [VaR(1-day,=5%)]

VaR . ,
VaR,
.
Delta- Mormal,
, .
Historical Simulation,
,

.
Delta- Normal,
VaR ,
. Historical Simulation
,

VaR.

(, ,
- ).

37
 ARCH-GARCH Monte Carlo,
, .
ARCH-GARCH, VaR

ARCH-GARCH,
.
GARCH (.. GARCH, TARCH, EGARCH
..) ,
.
, Monte Carlo,
, ,

. ,

.
, .
Monte Carlo
,
.

,
, ,
VaR .

38
-

[1] The use of GARCH models in VaR estimation (Timotheos Angelidis, Alexandros
Benos, Stavros Degiannakis - 2003)

[2] A GARCH model approach to calculate Value at Risk of Albanian LEK exchange
rate (Gentjan Cera, Edmond Cera, Gerdi Lito - 2013)

[3] A study of the Delta Normal Method of measuring VaR ( Rajesh Kondapaneni -
2005)

[4] Comparative analysis of Value at Risk (VaR) methods for portfolio with non-
linear return ( Manohar Lal - 2012)

[5] Estimation of VaR using Copula and Extreme Value Theory (Koodi Hotta ,
Edimilson C. Lucas Helder P. Palaro - 2006)

[6] Evaluating predictive performance of Value-at-Risk models in Emerging Markets:

A Reality Check (Bao Yong, Tae -Hwy Lee Burak Saltoglu- 2006)

[7] . (J. Fourastie- F. Laslier. - 2001)

[8] . ( .- . -1998)

[9] - 1 2. ( .
Gutenberg-2002)

[10] . (John Dinardo- Jack Johnson. -

2004)

[11] : ( - 2003)

[12] Measuring Market Risk with Value at Risk (Pietro Penza Vipul K. Bansal- 2000)

[13] ( --,
- 2002)

39
[14] (Fred Weston -
Eugene Brigham- 1986)

[15] (
- - 2010)

[16] ( - 2013)

[17] Econometric analysis (William H. Green. Pearson Education- 2008)

[18] Basic econometrics 4th edition (Damodar N. Gujarati- 2003)

[19] Value at Risk, 3rd Edition: The New Benchmark for Managing Financial Risk
( Phillipe Jorion- 2006)

[20] Value-at-Risk : Theory and Practice (Glyn A. Holton- 2014)

www.naftemporiki.gr

40
.

ARCH-GARCH.
( EVIEWS var-index-xaa.wf1),
TARCH GARCH
ARCH-GARCH .
EVIEWS 9
GARCH.
. :
model ARCH-TARCH ( 1):
Threshold order (.. 1),
TARCH(1,1,1)
model EGARCH ( 2):
Asymmetric order (.. 1),
EGARCH(1,1,1).

,
TARCH, EGARCH, TARCH(2,2,2),
TARCH(1,1,2), EGARCH(2,2,2), EGARCH(2,2,1) .

(error distribution).
Normal. Eviews
Student, Generalized Error (GED), Student with fixed df, GED with fixed
parameter ( 3)

41
 1. TARCH

42
 2. EGARCH

3.

43
---------- GARCH(2,2) VaR .

Eviews, GARCH(2,2).

.
1) Failure to improve gradients,
, .
2) GARCH(-2),
(-0.367),
GARCH.

GARCH , ) -
2)
(EGARCH, TARCH ),

44