report.txt

 DCC Garch Model and VaR

we have 4 stocks apple, google, nike and mircosoft. The dataset is from 2009.12.14 to
2012.12.12. There are 755 observations. We estimate the 4 stocks as a portfolio with Dcc Garch model(1,1). Each stock has garch(1,1). The portfolio value at beginning is 453 dollars. The weights of the portfolio depend on the initial value of the stock price. The testing window is 20. The value at risk for 95% for this portfolio is around 11 dollars.

From the backtesting we cannot reject null hypothese, which means our Dcc garch model is suitable.