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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Detalles Bibliográficos
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
Descripción
Sumario: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.

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