  We consider the Fractionally Integrated Exponential Generalized
Autoregressive Conditional Heteroskedasticity process, denoted by
FIEGARCH(p,d,q), introduced by Bollerslev and Mikkelsen (1996). We present a
simulated study regarding the estimation of the risk measure $VaR_p$ on
FIEGARCH processes. We consider the distribution function of the portfolio
log-returns (univariate case) and the multivariate distribution function of the
risk-factor changes (multivariate case). We also compare the performance of the
risk measures $VaR_p$, $ES_p$ and MaxLoss for a portfolio composed by stocks of
four Brazilian companies.
