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

A conditional approach to VaR with multivariate α-stable sub-Gaussian distributions

Autores/as

  • Ramona Serrano-Bautista Tecnológico de Monterrey
  • Leovardo Mata-Mata Tecnológico de Monterrey.

DOI:

https://doi.org/10.29105/ensayos37.1-2

Palabras clave:

Distribución α-estable Sub-Gaussiana, GARCH multivariado estable Sub-Gaussiano, Valor en Riesgo

Resumen

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.

 

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Biografía del autor/a

Ramona Serrano-Bautista, Tecnológico de Monterrey

Tecnológico de Monterrey, Guadalajara Av. General Ramón Corona 2514 Nuevo México, 45201 Zapopan, Jal.

Leovardo Mata-Mata, Tecnológico de Monterrey.

Tecnológico de Monterrey, Estado de México

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Publicado

2018-04-25

Cómo citar

Serrano-Bautista, R., & Mata-Mata, L. (2018). Estimación del VaR mediante un modelo condicional multivariado bajo la hipótesis α-estable sub-Gaussiana: A conditional approach to VaR with multivariate α-stable sub-Gaussian distributions. Ensayos Revista De Economía, 37(1), 43–76. https://doi.org/10.29105/ensayos37.1-2

Número

Sección

Artículos: Convocatoria Regular