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- W4240906843 abstract "Este documento evalúa el comportamiento de varios modelos de volatilidad en estimaciones de un día del valor en riesgo (VaR) de veinticuatro series de retornos de acciones en Colombia con diferentes distribuciones. Al considerar que todas las series de retornos presentan clúster de volatilidad y memoria de largo plazo, se utilizan modelos tipo GARCH que incluyen diferentes distribuciones: normal, T-Student y GED. Los hallazgos corroboran la dificultad de elegir un único modelo para el cálculo del VaR, pero validan el uso de modelos paramétricos con distribución normal y simulación Montecarlo en mercados financieros emergentes." @default.
- W4240906843 created "2022-05-12" @default.
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- W4240906843 date "2019-10-01" @default.
- W4240906843 modified "2023-09-30" @default.
- W4240906843 title "Valoración de riesgo mediante modelos GARCH y simulación Montecarlo: evidencia del mercado accionario colombiano" @default.
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- W4240906843 doi "https://doi.org/10.22395/seec.v22n53a3" @default.
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