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Jacob, you conclude that "The main finding is that VaR is more suited for our index portfolio GSPC than for our stock JPM." This conclusion is not surprising. However I think that is not the VaR in itself "more suited," but the underlying GARCH(1,1) model. You introduce the standardized error in section 4.6. That is the right way. I did not study your pdf ...


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The reason is earnings and other idiosyncratic corporate actions like takeovers, major product releases, etc. There are three terms in garch(1,1), the constant, term proportional to previous day's volatility, and a term proportional to "stock noise". Earnings jump is much larger than previous "regular" volatility, and also much larger than "regular" noise. ...



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