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Estimación del VaR mediante un modelo condicional multivariado bajo la hipótesis α-estable sub-Gaussiana

Author

Listed:
  • Ramona Serrano-Bautista

    (Tecnológico de Monterrey)

  • Leovardo Mata-Mata

    (Tecnológico de Monterrey.)

Abstract

El objetivo de esta investigación es proponer un modelo de volatilidad multivariable, el cual combina la propiedad de la distribución α-estable para ajustar colas pesadas con el modelo GARCH para capturar clúster de volatilidad. El supuesto inicial es que los rendimientos siguen una distribución sub-Gaussiana, la cual es un caso particular de las distribuciones estables multivariadas. El modelo GARCH propuesto se aplica en la estimación del VaR a un portafolio compuesto por cinco activos que cotizan en la Bolsa Mexicana de Valores (BMV). En particular, se compara el desempeño del modelo propuesto con la estimación del VaR obtenida bajo la hipótesis multivariada Gaussiana, t-Student y Cauchy durante el período de la crisis financiera de 2008.

Suggested Citation

  • Ramona Serrano-Bautista & Leovardo Mata-Mata, 2018. "Estimación del VaR mediante un modelo condicional multivariado bajo la hipótesis α-estable sub-Gaussiana," Ensayos Revista de Economía, Universidad Autónoma de Nuevo León, vol. 37(1), pages 43-76, April.
    • Handle: RePEc:ere:journl:v:37:y:2018:i:1:id:121
    DOI: 10.29105/ensayos37.1-2
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    References listed on IDEAS

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