Medidas alternativas de volatilidad en el mercado de valores peruano
Journal Title: REVISTA DE ANÁLISIS ECONÓMICO Y FINANCIERO - Year 2019, Vol 2, Issue 2
Abstract
This document seeks to compare the main volatility calculation methodologies for the Peruvian stock market. Three volatility calculation methods are presented, the EWMA model, the GARCH model and the Stochastic Volatility (SV) model. The comparison of these methodologies was carried out through the calculation of the Value at Risk and a backtesting exercise. The results show that although the three estimation methodologies generate similar volatility measures, the GARCH and SV models are superior to the EWMA model in terms of calculating Value at Risk. Likewise, the backtesting exercise carried out does not show significant differences between the GARCH and stochastic volatility models.
Authors and Affiliations
Rafael Nivin Valdiviezo
Keywords
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- EP ID EP700758
- DOI https://doi.org/10.24265/raef.2019.v2n2.17
- Views 78
- Downloads 0
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