Check investment risk in equity by using the var standard

Abstract

This study aims to investigate and compare the investment risk between the gold and the stock using Value at Risk (VaR) measure. It is one of the known methods to measure, forecast and manage the risk and has been of interest in recent years to financial institutions. Methodology: The VaR is a method for assessment and identification of risk, which makes use of standard statistical techniques applied ordinarily in other areas. Results: This investigation is seeking to find an appropriate solution for managing the risk of investment in the stock exchange and the precious metals (gold) and to select an optimal portfolio using the concept of VaR. Conclusion: In this study, offering some definitions for VaR, risk and Monte Carlo Simulation, the rate of VaR of stocks and gold with conditional heteroskedastic variance is calculated by a parametric technique using GARCH model.