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Cálculo del VaR con volatilidad no constante en R

Author

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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.

Suggested Citation

  • Julio César Alonso & Paul Seeman, 2010. "Cálculo del VaR con volatilidad no constante en R," APUNTES DE ECONOMÍA 009097, UNIVERSIDAD ICESI.
  • Handle: RePEc:col:000131:009097
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    References listed on IDEAS

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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, 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 95-24, Board of Governors of the Federal Reserve System (US).
    3. Julio César Alonso & Mauricio Alejandro Arcos, 2006. "Cuatro hechos estilizados de las series de rendimientos: Una ilustración para Colombia," ESTUDIOS GERENCIALES, UNIVERSIDAD ICESI, August.
    4. 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.
    5. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    6. Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters,in: THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78 World Scientific Publishing Co. Pte. Ltd..
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