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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.

Suggested Citation

  • Julio César Alonso & Paul Seeman, 2010. "Cálculo del VaR con volatilidad no constante en R," Apuntes de Economía 9097, Universidad Icesi.
    • Handle: RePEc:col:000131:009097
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    References listed on IDEAS

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