Estimación del riesgo bursátil peruano
AbstractThis work compares two methodologies for estimating the Value at Risk (VaR) of the Peruvian Stock Market Index (IGBVL) on 2000-2006. Specifically, RiskmetricsTM and the quantile regression technique CAViaR proposed by Engle and Manganelli (2004) are considered. The results obtained show that the VaR estimates from these methods are close in periods of low volatility or for VaR 95%, but important differences are observed in periods of high volatility, mainly for VaR 99%.
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Bibliographic InfoArticle provided by Departamento de Economía - Pontificia Universidad Católica del Perú in its journal Revista Economía.
Volume (Year): (2008)
Issue (Month): 62 ()
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Postal: Av. Universitaria 1801, San Miguel, Lima, Perú
Phone: (511) 626-2000 ext. 4950, 4951
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Web page: http://www.pucp.edu.pe/departamento/economia/
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CAViaR; IGBVL; RiskmetricsTM; Value at Risk; volatility.;
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- Alberto Humala & Gabriel Rodriguez, 2011.
"Some Stylized Facts of Returns in the Foreign Exchange and Stock Markets in Peru,"
Documentos de Trabajo
2011-325, Departamento de Economía - Pontificia Universidad Católica del Perú.
- Alberto Humala & Gabriel Rodriguez, 2013. "Some stylized facts of return in the foreign exchange and stock markets in Peru," Studies in Economics and Finance, Emerald Group Publishing, vol. 30(2), pages 139-158, April.
- Humala, Alberto & Rodriguez, Gabriel, 2010. "Some stylized facts of returns in the foreign exchange and stock markets in Peru," Working Papers 2010-017, Banco Central de Reserva del Perú.
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