Calculation of value at risk for portfolio of coin and bourse index; comparing to models: GARCH and M-GARCH

This paper apply GARCH and M-GARCH for estimating value at risk of portfolio including coin and stock exchange index from beginning of 2008 until beginning of 2014. Generally there is three approaches called parametric, nonparametric and semi-parametric for estimating value at risk. Since volatilities contagion between different markets, it’s required to use M-GARCH. Among M-GARCH models, BEKK model is more appropriate for two-variable series. In this paper GARCH and M-GARCH are applied. Then we compare results of models with back-testing. Conclusion of this research states as we expect M-GARCH has better and more accurate performance rather than GARCH for calculating value at risk of portfolio.