Resumen

BARBOSA CAMARGO, María Ines; SALAZAR SARMIENTO, Alejandra  y  PENALOZA GOMEZ, Kelly Jhohana. Value at Risk Through GARCH Models and Montecarlo Simulation: Evidence from the Colombian Stock Market. Semest. Econ. [online]. 2019, vol.22, n.53, pp.53-75. ISSN 0120-6346.  https://doi.org/10.22395//seec.v22n53a3.

This paper evaluates the performance of several volatility models for estimating one-day-ahead Value-at-Risk (VaR) of twenty-four stocks return series in Colombia, using a number of distributional assumptions. Because all return series exhibit volatility clustering and long-range memory GARCH-type models including models under normal, T-Student and generalized error distribution are examined. The findings corroborate the difficulty of choosing a single model for calculating VaR, but validate the use of parametric models with normal distribution and Montecarlo simulation in emerging financial markets.

JEL CLASSIFICATION: G17, G32, C58

CONTENT: Introduction; 1. Brief literature review; Value-at-Risk; 2. Methodology; 3. Results; Conclusions; Bibliography.

Palabras clave : Value-at-Risk; GARCH-type models; simulation; Colombia.

        · resumen en Español | Portugués     · texto en Español     · Español ( pdf )