%0 Journal Article 
%T Comparación empírica de modelos de valor en riesgo (VAR) para un portafolio compuesto por el peso colombiano, el real brasilero y el peso mexicano
%D 2011
%U http://hdl.handle.net/10906/67002
%X The purpose of this paper is to evaluate different methods to estimate VaR for a portfolio of Colombian peso, Brazilian real and Mexican peso. The evaluation was
done thru the empirical comparison of the following methods: Historical Simulation,
Constant Volatility, EWMA, and three multivariate GARCH models: Diagonal
VECH, Constant Conditional Correlation and Diagonal BEKK. Backtesting proved
that the constant volatility model does not offer the coverage needed, but MGARCH
model, Diagonal BEKK, outperformed the other models.
%K Producción intelectual registrada - Universidad Icesi
%K RIESGO FINANCIERO
%K RIESGO (FINANZAS)
%K VAR (VALOR EN RIESGO)
%K TASA DE CAMBIO
%K MERCADO BURSATIL
%K MEDICIÓN DE RIESGO
%K GARCH
%K BACKTESTING
%K Economía
%K Economics
%~ GOEDOC, SUB GOETTINGEN