Comparación empírica de modelos de valor en riesgo (VAR) para un portafolio compuesto por el peso colombiano, el real brasilero y el peso mexicano

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.