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Cálculo del VaR con volatilidad no constante en R

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  • Julio César Alonso

    ()

  • Paul Seeman

Abstract

En este documento continuamos en la discusión del VaR (Value at Risk) como medida de riesgo de mercado de los activos financieros. Ilustramos de manera práctica y detallada la estimación del VaR empleando la estimación de la varianza abandonando el supuesto de volatilidad constante. Emplearemos por lo tanto tres aproximaciones distintas: La estimación de la varianza móvil, estimación mediante medias móviles con ponderación exponencial (EWMA) y la estimación mediante modelos de la familia GARCH. Posteriormente realizamos pruebas de backtesting. Los ejemplos se realizan para la TCRM, los cálculos son realizados mediante el software gratuito R y los códigos de programación son también reportados. Este documento está dirigido a estudiantes de maestría en finanzas, maestría en economía y últimos semestres de pregrado en economía. Además por la sencillez del lenguaje, puede ser de utilidad para cualquier estudiante o profesional interesado en calcular las medidas mas empeladas de riesgo de mercado.

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Bibliographic Info

Paper provided by UNIVERSIDAD ICESI in its series APUNTES DE ECONOMÍA with number 009097.

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Date of creation: 28 Feb 2010
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Handle: RePEc:col:000131:009097

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Related research

Keywords: VaR; Value at Risk; GARCH; APARCH; EWMA; varianza móvil; riesgo de mercado; R-project; tasa de cambio; TCRM;

References

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  1. Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, Elsevier, vol. 1(1), pages 83-106, June.
  2. Paul H. Kupiec, 1995. "Techniques for verifying the accuracy of risk measurement models," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 95-24, Board of Governors of the Federal Reserve System (U.S.).
  3. Julio César Alonso & Mauricio Alejandro Arcos, 2006. "Cuatro hechos estilizados de las series de rendimientos: Una ilustración para Colombia," ESTUDIOS GERENCIALES, UNIVERSIDAD ICESI.
  4. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
  5. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
  6. Julio César Alonso & Paul Seeman, 2009. "Cálculo del Valor en Riesgo y Pérdida Esperada mediante R: Empleando modelos con volatilidad constante," APUNTES DE ECONOMÍA 009096, UNIVERSIDAD ICESI.
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