An estimation of Value at Risk using GARCH models: an application to the Argentine stock market

The Value at Risk (VaR) represents the maximum probable loss that an asset may experience in a given time horizon and with a given confidence level. This paper attempts to estimate the most appropriate model to measure the risk of the Argentinean stock market, using the daily series of the S&amp...

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Autores principales: Segovia, Martín; Universidad de Buenos Aires (UBA), Favata, Federico; Universidad Nacional de San Martin (UNSAM) Universidad Argentina de la Empresa (UADE)
Formato: Artículo revista
Lenguaje:Español
Publicado: Facultad de Ciencias Económicas de la Universidad Nacional del Nordeste - UNNE 2022
Materias:
Financial markets
Value at risk
GARCH models
Mercados financieros
Valor al riesgo
Modelos GARCH
Acceso en línea:https://revistas.unne.edu.ar/index.php/rfce/article/view/6286
Aporte de:
Revistas UNNE - Universidad Nacional del Noroeste (UNNE) de Universidad Nacional del Nordeste
id I48-R154-article-6286
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institution Universidad Nacional del Nordeste
institution_str I-48
repository_str R-154
container_title_str Revistas UNNE - Universidad Nacional del Noroeste (UNNE)
language Español
format Artículo revista
topic Financial markets
Value at risk
GARCH models
Mercados financieros
Valor al riesgo
Modelos GARCH
spellingShingle Financial markets
Value at risk
GARCH models
Mercados financieros
Valor al riesgo
Modelos GARCH
Segovia, Martín; Universidad de Buenos Aires (UBA)
Favata, Federico; Universidad Nacional de San Martin (UNSAM) Universidad Argentina de la Empresa (UADE)
An estimation of Value at Risk using GARCH models: an application to the Argentine stock market
topic_facet Financial markets
Value at risk
GARCH models
Mercados financieros
Valor al riesgo
Modelos GARCH
author Segovia, Martín; Universidad de Buenos Aires (UBA)
Favata, Federico; Universidad Nacional de San Martin (UNSAM) Universidad Argentina de la Empresa (UADE)
author_facet Segovia, Martín; Universidad de Buenos Aires (UBA)
Favata, Federico; Universidad Nacional de San Martin (UNSAM) Universidad Argentina de la Empresa (UADE)
author_sort Segovia, Martín; Universidad de Buenos Aires (UBA)
title An estimation of Value at Risk using GARCH models: an application to the Argentine stock market
title_short An estimation of Value at Risk using GARCH models: an application to the Argentine stock market
title_full An estimation of Value at Risk using GARCH models: an application to the Argentine stock market
title_fullStr An estimation of Value at Risk using GARCH models: an application to the Argentine stock market
title_full_unstemmed An estimation of Value at Risk using GARCH models: an application to the Argentine stock market
title_sort estimation of value at risk using garch models: an application to the argentine stock market
description The Value at Risk (VaR) represents the maximum probable loss that an asset may experience in a given time horizon and with a given confidence level. This paper attempts to estimate the most appropriate model to measure the risk of the Argentinean stock market, using the daily series of the S&P Merval index. For this purpose, a parametric VaR model was proposed through GARCH (1,1), GJR-GARCH(1,1) and E-GARCH(1,1) conditional variances together with normal, student's t and skewed student's t distributions. Through backtesting, the suitability of each model was determined. Finally, the most appropriate model for risk management of the Argentine stock market is the parametric VaR with an E-GARCH (1,1) model with student's t distribution.
publisher Facultad de Ciencias Económicas de la Universidad Nacional del Nordeste - UNNE
publishDate 2022
url https://revistas.unne.edu.ar/index.php/rfce/article/view/6286
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first_indexed 2023-03-18T23:07:03Z
last_indexed 2023-03-18T23:07:03Z
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