Issue 01

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Value at Risk Estimation for the BRICS Countries: A Comparative Study
(Department of Social Statistics, Faculty of Social Sciences, University of Kelaniya Sri Lanka, 2021) Salem, Ameni Ben; Safer, Imene; Khefacha, Islem
This paper aims to investigate some statistical methods to estimate the value-at-Risk (VaR) for stock returns in the BRICS countries from 2011 to 2018. Four different risk methods are used to estimate VaR: Historical Simulation (HS), Risk metrics, Historical Method and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) Process. By applying the Backtesting technique, we test the effectiveness of these different methods by comparing the calculated VaR with the actual realized losses (or gains) of the portfolio or the index. The results show that for the all-BRICS countries and at different confidence levels, the Historical Method and the Historical Simulation are the appropriate methods, while the GARCH model failed to predict precisely the VaR for all BRICS countries.