Working Capital Exposure: A Methodology to Control Economic Performance in Production Environment Projects

This paper evaluates the performance of 16 different parametric, nonparametric and one semi-parametric specifications to calculate the Value at Risk (VaR) for the Colombian Exchange Market Index (IGBC). Using high frequency data (10-minute returns), we model the variance of the returns using GARCH and TGARCH models, that take in account the leverage effect, the day-of-the-week effect, and the hour-of-the-day effect. We estimate those models under two assumptions regarding returns’ behavior: Normal distribution and t distribution. This exercise is performed using two different ten-minute intraday samples: 2006-2007 and 2008-2009. For the first sample, we found that the best model is a TGARCH(1,1) without day-of the week or hour-of-the-day effects. For the 2008-2009 sample, we found that the model with the correct conditional VaR coverage would be the GARCH(1,1) with the day-of-the-week effect, and the hour-of-the-day effect. Both methods perform better under the t distribution assumption

• Autores: Rivera Cadavid, Leonardo; Manotas Duque, Diego Fernando
• Tipo de recurso: http://purl.org/coar/resource_type/c_c94f
• Fecha de publicación: 2010
• Institución: Universidad ICESI
• Repositorio: Repositorio ICESI
• Idioma: eng
• OAI Identifier: oai:repository.icesi.edu.co:10906/82392
• Acceso en línea: https://www.pomsmeetings.org/confpapers/015/015-0399.pdf; http://repository.icesi.edu.co/biblioteca_digital/handle/10906/82392
• Palabra clave: Capital de trabajo; Gestión de proyectos; Ingeniería de producción; Production engineering; Costos de produccion; Inversión
• Rights: openAccess
• License: https://creativecommons.org/licenses/by-nc-nd/4.0/