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Modelos VaR-GARCH y Portafolios de Inversión Trinacionales en los Mercados Accionarios del TLCAN

Author

Listed:
  • Francisco Javier Reyes Zárate

    (Facultad de Economía, Universidad Nacional Autónoma de México)

  • Edgar Ortiz

    (Facultad de Ciencias Políticas y Sociales, Universidad Nacional Autónoma de México)

Abstract

Este trabajo emplea la metodología M-VARCH (modelos Value at Risk y modelos GARCH multivariados), la cual presupone un mayor conservadurismo y precisión en la estimación de pérdidas potenciales de portafolios de inversión. La diversificación regional en mercados accionarios, bajo el contexto de la globalización, es trascendental porque presenta oportunidades importantes de altos rendimientos minimizando riesgos, dado el diferente grado de desarrollo y estabilidad de sus mercados. Esto resalta la necesidad de una eficiente administración de riesgos. El estudio es aplicado a los tres principales índices accionarios de los países miembros del Tratado de Libre Comercio de América del Norte (TLCAN).

Suggested Citation

  • Francisco Javier Reyes Zárate & Edgar Ortiz, 2013. "Modelos VaR-GARCH y Portafolios de Inversión Trinacionales en los Mercados Accionarios del TLCAN," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 8(2), pages 129-155, Julio-Dic.
    • Handle: RePEc:imx:journl:v:8:y:2013:i:2:p:129-155
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    File URL: http://www.remef.org.mx/index.php/remef/article/view/45/75
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    Citations

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    Cited by:

    1. Erick Treviño Aguilar & Gilberto Calvillo Vives & Jeremy Heald, 2023. "A Network of two Markets, Correlations for Stocks in the S&P500 Index and Stocks Traded in the BMV," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 18(3), pages 1-27, Julio - S.

    More about this item

    Keywords

    Valor en Riesgo; GARCH Multivariado; Administración de riesgos; TLCAN; Back testing;
    All these keywords.

    JEL classification:

    • C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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