Medidas alternativas de volatilidad en el mercado de valores peruano
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...
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| Format: | Article |
| Language: | English |
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Universidad de San Martín de Porres
2019-07-01
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| Series: | Revista de Análisis Económico y Financiero |
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| Online Access: | http://contabilidadyeconomiausmp.edu.pe/OJS2020/index.php/RAEF/article/view/17 |
| _version_ | 1817991432926920704 |
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| author | Rafael Nivin Valdiviezo |
| author_facet | Rafael Nivin Valdiviezo |
| author_sort | Rafael Nivin Valdiviezo |
| collection | DOAJ |
| description | 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.
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| first_indexed | 2024-04-14T01:12:24Z |
| format | Article |
| id | doaj.art-92e46d6d1e564d5e8dbe30b9a264898c |
| institution | Directory Open Access Journal |
| issn | 2617-9989 2663-8908 |
| language | English |
| last_indexed | 2024-04-14T01:12:24Z |
| publishDate | 2019-07-01 |
| publisher | Universidad de San Martín de Porres |
| record_format | Article |
| series | Revista de Análisis Económico y Financiero |
| spelling | doaj.art-92e46d6d1e564d5e8dbe30b9a264898c2022-12-22T02:20:59ZengUniversidad de San Martín de PorresRevista de Análisis Económico y Financiero2617-99892663-89082019-07-0122714https://doi.org/10.24265/raef.2019.v2n2.17Medidas alternativas de volatilidad en el mercado de valores peruanoRafael Nivin Valdiviezo0Universidad de San Martín de PorresThis 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. http://contabilidadyeconomiausmp.edu.pe/OJS2020/index.php/RAEF/article/view/17stochastic volatilityvalue at risktrading strategy |
| spellingShingle | Rafael Nivin Valdiviezo Medidas alternativas de volatilidad en el mercado de valores peruano Revista de Análisis Económico y Financiero stochastic volatility value at risk trading strategy |
| title | Medidas alternativas de volatilidad en el mercado de valores peruano |
| title_full | Medidas alternativas de volatilidad en el mercado de valores peruano |
| title_fullStr | Medidas alternativas de volatilidad en el mercado de valores peruano |
| title_full_unstemmed | Medidas alternativas de volatilidad en el mercado de valores peruano |
| title_short | Medidas alternativas de volatilidad en el mercado de valores peruano |
| title_sort | medidas alternativas de volatilidad en el mercado de valores peruano |
| topic | stochastic volatility value at risk trading strategy |
| url | http://contabilidadyeconomiausmp.edu.pe/OJS2020/index.php/RAEF/article/view/17 |
| work_keys_str_mv | AT rafaelnivinvaldiviezo medidasalternativasdevolatilidadenelmercadodevaloresperuano |