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individual
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date: 2026-08-27T12:47:31
publisher: vivo
type: Document
label: RDF description of Value-at-risk-estimation in the Mexican stock exchange using conditional heteroscedasticity models and theory of extreme values [Estimación del valor en riesgo en la bolsa mexicana de valores usando modelos de heteroscedasticidad con-dicional y teoría de valores extremos] - http://orbis.uaslp.mx/vivo/individual/scopus3269

Article
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Information Content Entity
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scopus3269
date time value: article date 3270
type: Entity
page end: 205
has publication venue: Economia Mexicana, Nueva Epoca
type: Continuant
origen: scopus
freetext keyword: ARMA; EVT; Financial risk; GARCH; VAR
most specific type: Article
type: Generically Dependent Continuant
type: Thing
crisid: 3270
volume: 22
related by: authorship_18966
type: Article
type: Document
abstract: This work proposes an approach for estimating value at risk (var) of the Mexican stock exchange index (ipc) by using a combination of the autoregressive moving average models (arma); three different models of the arch family, one symmetric (garch) and two asymmetric (gjr-garch and egarch); and the extreme value theory (evt). The arma models were initially used to obtain uncorrelated residuals, which were later used for the analysis of extreme values. The garch, egarch and gjr-garch models, by including past volatility, are particularly useful both in instability and calm periods. Moreover, the asymmetric models gjr-garch and egarch handle differently the impact of positive and negative shocks in the market. The importance of the ipc in the Mexican economy raises the need to study its variations, particularly its downward movement; so, we propose to use var to calculate the maximum loss that ipc may have, at a certain level of reliability, in a given period of time, using more efficient models to dynamically quantify volatility. The RiskMetrics approach was parallelly used as a way to compare the methodology proposed. The results indicate that the arma-garch-evt methodology showed a better performance than RiskMetrics, because of the simultaneous adjustment of arma-garch models for returns and variances respectively. Although estimates of the egarch models had fewer violations of var, the estimates of the three models used for volatility were more accurate than the others, evaluated at the same error and reliability levels through the Kupiec Likelihood Ratio test.
related by: authorship_18967
e iscopus: 2-s2.0-84887900543
estado: published
most specific type: Document
issue: 1
related by: authorship_18968
label: Value-at-risk-estimation in the Mexican stock exchange using conditional heteroscedasticity models and theory of extreme values [Estimación del valor en riesgo en la bolsa mexicana de valores usando modelos de heteroscedasticidad con-dicional y teoría de valores extremos]
page start: 177
type: Information Content Entity
related by: authorship_18969
related by: authorship_18970

Economia Mexicana, Nueva Epoca
type: Entity
type: Continuant
publication venue for: scopus3269
type: Collection
type: Thing
type: Document
type: Information Content Entity
type: Generically Dependent Continuant
type: Journal
type: Periodical