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Modelación de la asimetría y la curtosis condicionales en series financieras colombianas

Author

Listed:
  • Andrés Eduardo Jiménez Gómez
  • Luis Fernando Melo Velandia

Abstract

Las metodologías tradicionales utilizadas para calcular el valor en riesgo y el valor en riesgo condicional usualmente modelan el primer y segundo momento de las series, suponiendo que el tercer y cuarto momento son constantes. En este artículo se utiliza la metodología de Hansen (1994) para modelar los primeros cuatro momentos de la serie y, en particular, se usan varias formas paramétricas para modelar la asimetría y la curtosis. Las medidas tradicionales de VaR y CVaR y las propuestas se calculan para la tasa representativa del mercado, los TES y el IGBC para el periodo comprendido entre enero de 2008 y febrero de 2014. En general, se encontró que las medidas de riesgo de mercado presentan mejor desempeno cuando se modelan la asimetría y la curtosis condicionales de la serie.

Suggested Citation

  • Andrés Eduardo Jiménez Gómez & Luis Fernando Melo Velandia, 2016. "Modelación de la asimetría y la curtosis condicionales en series financieras colombianas," Revista Desarrollo y Sociedad, Universidad de los Andes,Facultad de Economía, CEDE, vol. 76, February.
    • Handle: RePEc:col:000090:014294
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    File URL: https://economia.uniandes.edu.co/revistadys/Articulo76_7.pdf
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    More about this item

    Keywords

    valor en riesgo; valor en riesgo condicional; backtesting; asimetría; curtosis.;
    All these keywords.

    JEL classification:

    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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