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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Web page: http://www.pucp.edu.pe/departamento/economia/
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CAViaR; IGBVL; RiskmetricsTM; Value at Risk; volatility.;
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- Humala, Alberto & Rodriguez, Gabriel, 2010.
"Some stylized facts of returns in the foreign exchange and stock markets in Peru,"
2010-017, Banco Central de Reserva del Perú.
- 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.
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