%0 Journal Article 
%T Working Capital Exposure: A Methodology to Control Economic Performance in  Production Environment Projects
%D 2010
%U http://repository.icesi.edu.co/biblioteca_digital/handle/10906/82392
%X This paper evaluates the performance of 16 different parametric, nonparametric
and one semi-parametric specifications to calculate the Value at
Risk (VaR) for the Colombian Exchange Market Index (IGBC). Using high
frequency data (10-minute returns), we model the variance of the returns
using GARCH and TGARCH models, that take in account the leverage effect,
the day-of-the-week effect, and the hour-of-the-day effect. We estimate
those models under two assumptions regarding returns’ behavior: Normal
distribution and t distribution. This exercise is performed using two different
ten-minute intraday samples: 2006-2007 and 2008-2009. For the first
sample, we found that the best model is a TGARCH(1,1) without day-of the
week or hour-of-the-day effects. For the 2008-2009 sample, we found that the
model with the correct conditional VaR coverage would be the GARCH(1,1)
with the day-of-the-week effect, and the hour-of-the-day effect. Both methods
perform better under the t distribution assumption
%K Capital de trabajo
%K Gestión de proyectos
%K Ingeniería de producción
%K Production engineering
%K Costos de produccion
%K Inversión
%~ GOEDOC, SUB GOETTINGEN