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Estimación del riesgo bursátil peruano


  • Mauricio Zevallos

    (Departamento de Estatistica y Laboratorio Epifisma Universidade Estadual de Campinas, Brasil)


This 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%.

Suggested Citation

  • Mauricio Zevallos, 2008. "Estimación del riesgo bursátil peruano," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, issue 62, pages 109-126.
  • Handle: RePEc:pcp:pucrev:y:2008:i:62:p:109-126

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    Cited by:

    1. 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, May.

    More about this item


    CAViaR; IGBVL; RiskmetricsTM; Value at Risk; volatility.;


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