Estimación del riesgo bursátil peruano

Mauricio Zevallos

Revista Economía, 2008, issue 62, 109-126

Abstract: This work compares two methodologies for estimating the Value at Risk (VaR) of the Peruvian Stock Market Index (IGBVL) on 2000-2006. Specifically, RiskmetricsTM and the quantile regression technique CAViaR proposed by Engle and Manganelli (2004) are considered. The results obtained show that the VaR estimates from these methods are close in periods of low volatility or for VaR 95%, but important differences are observed in periods of high volatility, mainly for VaR 99%.

Keywords: CAViaR; IGBVL; RiskmetricsTM; Value at Risk; volatility. (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:pcp:pucrev:y:2008:i:62:p:109-126

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