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Value-At-Risk Forecast Using Copulas : An Empirical Approach in Brazilian Stock Market

Through empirical research is identified that the hypothesis of normal distribution of returns is no longer observed while verifying the existence of heavy tails and asymmetries in the distribution. Thus, the article has aimed empirically apply copula models using techniques of realized volatility (HAR) with high-frequency data and perform the calculation of Value at Risk for different periods. The results show that HAR models copula exhibited superior performance with respect to EWMA and GARCH in intervals of time greater than five minutes.