{"id":5767,"date":"2023-03-03T13:37:23","date_gmt":"2023-03-03T13:37:23","guid":{"rendered":"https:\/\/aaep.org.ar\/?p=5767"},"modified":"2023-03-03T13:37:25","modified_gmt":"2023-03-03T13:37:25","slug":"estimacion-del-valor-a-riesgo-del-mercado-accionario-argentino-mediante-modelos-garch","status":"publish","type":"post","link":"https:\/\/aaep.org.ar\/?p=5767","title":{"rendered":"Estimaci\u00f3n del Valor a Riesgo del mercado accionario argentino mediante modelos GARCH."},"content":{"rendered":"<iframe loading=\"lazy\" class=\"wonderplugin-pdf-iframe\" src=\"https:\/\/aaep.org.ar\/wp-content\/plugins\/wonderplugin-pdf-embed\/pdfjslight\/web\/viewer.html?v=2&file=https:\/\/aaep.org.ar\/works\/works2022\/4562.pdf\" width=\"100%\" height=\"600px\" style=\"border:0;\"><\/iframe>\n","protected":false},"excerpt":{"rendered":"<p>\u00abEl Valor a Riesgo (VaR) representa la m\u00e1xima p\u00e9rdida probable que puede experimentar un activo en un determinado horizonte de tiempo y con un determinado nivel de confianza. Este trabajo intenta estimar el modelo m\u00e1s adecuado para medir el riesgo del mercado accionario argentino, utilizando la serie diaria del \u00edndice S&amp;P Merval. Para eso,<br \/>\nse plante\u00f3 un modelo de VaR param\u00e9trico a trav\u00e9s de varianzas condicionales GARCH(1,1), GJR-GARCH(1,1) y E-GARCH(1,1) en conjunto con las distribuciones normal, t de student y t de student sesgada. A trav\u00e9s del backtesting se determin\u00f3 la aptitud de cada modelo. Finalmente, el modelo m\u00e1s apropiado para la gesti\u00f3n del riesgo del mercado accionario argentino es el VaR param\u00e9trico con un modelo E-GARCH(1,1) bajo distribuci\u00f3n t de student.\u00bb<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"_acf_changed":false,"_coblocks_attr":"","_coblocks_dimensions":"","_coblocks_responsive_height":"","_coblocks_accordion_ie_support":"","footnotes":""},"categories":[29],"tags":[30],"class_list":["post-5767","post","type-post","status-publish","format-standard","hentry","category-anales","tag-aaep-anales-2022"],"acf":[],"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v27.5 - https:\/\/yoast.com\/product\/yoast-seo-wordpress\/ -->\n<title>Estimaci\u00f3n del Valor a Riesgo del mercado accionario argentino mediante modelos GARCH. - Asociaci\u00f3n Argentina de Econom\u00eda Pol\u00edtica<\/title>\n<meta name=\"robots\" content=\"noindex, follow\" \/>\n<meta property=\"og:locale\" content=\"es_ES\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"Estimaci\u00f3n del Valor a Riesgo del mercado accionario argentino mediante modelos GARCH. - Asociaci\u00f3n Argentina de Econom\u00eda Pol\u00edtica\" \/>\n<meta property=\"og:description\" content=\"&quot;El Valor a Riesgo (VaR) representa la m\u00e1xima p\u00e9rdida probable que puede experimentar un activo en un determinado horizonte de tiempo y con un determinado nivel de confianza. Este trabajo intenta estimar el modelo m\u00e1s adecuado para medir el riesgo del mercado accionario argentino, utilizando la serie diaria del \u00edndice S&amp;P Merval. Para eso, se plante\u00f3 un modelo de VaR param\u00e9trico a trav\u00e9s de varianzas condicionales GARCH(1,1), GJR-GARCH(1,1) y E-GARCH(1,1) en conjunto con las distribuciones normal, t de student y t de student sesgada. A trav\u00e9s del backtesting se determin\u00f3 la aptitud de cada modelo. Finalmente, el modelo m\u00e1s apropiado para la gesti\u00f3n del riesgo del mercado accionario argentino es el VaR param\u00e9trico con un modelo E-GARCH(1,1) bajo distribuci\u00f3n t de student.&quot;\" \/>\n<meta property=\"og:url\" content=\"https:\/\/aaep.org.ar\/?p=5767\" \/>\n<meta property=\"og:site_name\" content=\"Asociaci\u00f3n Argentina de Econom\u00eda Pol\u00edtica\" \/>\n<meta property=\"article:published_time\" content=\"2023-03-03T13:37:23+00:00\" \/>\n<meta property=\"article:modified_time\" content=\"2023-03-03T13:37:25+00:00\" \/>\n<meta name=\"author\" content=\"aaepolitica\" \/>\n<meta name=\"twitter:card\" content=\"summary_large_image\" \/>\n<meta name=\"twitter:creator\" content=\"@aaepoficial\" \/>\n<meta name=\"twitter:site\" content=\"@aaepoficial\" \/>\n<meta name=\"twitter:label1\" content=\"Escrito por\" \/>\n\t<meta name=\"twitter:data1\" content=\"aaepolitica\" \/>\n<script type=\"application\/ld+json\" class=\"yoast-schema-graph\">{\"@context\":\"https:\\\/\\\/schema.org\",\"@graph\":[{\"@type\":\"Article\",\"@id\":\"https:\\\/\\\/aaep.org.ar\\\/?p=5767#article\",\"isPartOf\":{\"@id\":\"https:\\\/\\\/aaep.org.ar\\\/?p=5767\"},\"author\":{\"name\":\"aaepolitica\",\"@id\":\"https:\\\/\\\/aaep.org.ar\\\/#\\\/schema\\\/person\\\/7150b747ba20875259c74b2cd177316c\"},\"headline\":\"Estimaci\u00f3n del Valor a Riesgo del mercado accionario argentino mediante modelos GARCH.\",\"datePublished\":\"2023-03-03T13:37:23+00:00\",\"dateModified\":\"2023-03-03T13:37:25+00:00\",\"mainEntityOfPage\":{\"@id\":\"https:\\\/\\\/aaep.org.ar\\\/?p=5767\"},\"wordCount\":28,\"publisher\":{\"@id\":\"https:\\\/\\\/aaep.org.ar\\\/#organization\"},\"keywords\":[\"AAEP Anales 2022\"],\"articleSection\":[\"Anales\"],\"inLanguage\":\"es\"},{\"@type\":\"WebPage\",\"@id\":\"https:\\\/\\\/aaep.org.ar\\\/?p=5767\",\"url\":\"https:\\\/\\\/aaep.org.ar\\\/?p=5767\",\"name\":\"Estimaci\u00f3n del Valor a Riesgo del mercado accionario argentino mediante modelos GARCH. - 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