Uso de modelos de volatilidad estocástica para valoración de riesgo cambiario
Market risk valuation is very important not only for financial theoreticians but for the applied job. When using daily time series on exchange rates, the use of RiskMetricsTM strategy, in conjunction with GARCH models, is common place. Many authors, in several contexts, have pointed out the inconveni...
- Autores:
-
Zea Castro, José Fernando
- Tipo de recurso:
- Fecha de publicación:
- 2012
- Institución:
- Universidad Santo Tomás
- Repositorio:
- Universidad Santo Tomás
- Idioma:
- spa
- OAI Identifier:
- oai:repository.usta.edu.co:11634/39574
- Acceso en línea:
- https://revistas.usantotomas.edu.co/index.php/estadistica/article/view/64
http://hdl.handle.net/11634/39574
- Palabra clave:
- Modelos GARCH
modelos de volatilidad estocástica
valor en riesgo
- Rights
- License
- http://purl.org/coar/access_right/c_abf2
| Summary: | Market risk valuation is very important not only for financial theoreticians but for the applied job. When using daily time series on exchange rates, the use of RiskMetricsTM strategy, in conjunction with GARCH models, is common place. Many authors, in several contexts, have pointed out the inconvenience in using GARCH models. In this paper the use of Stochastic Volatility (SV) models in risk valuation is considered. We describe the main advantages and disadvantages of SV models against GARCH models. We present results of market risk valuation using SV for a portfolio that contains daily returns of Euro/Dollar, Yen/Dollar, UK$/Dollar and exchange rates. Our results suggest that the SV model produce more reliable estimations. |
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