Value at Risk con volatilidad modelada por GARCH: Evidencia del sector automovilístico durante el 2020
Resumen
El objetivo principal de esta investigación es evaluar la optimalidad de la cartera de inversión creada utilizando la metodología del Value at Risk con volatilidad modelada por GARCH. Utilizando la información de los rendimientos diarios de cada stock, se estimó la volatilidad mediante un modelo de heterocedasticidad condicional autorregresiva generalizada GARCH (1,1) lo cual sirvió de insumo para minimizar el Value at Risk (VaR 99%) del portafolio. Luego se evaluó la efectividad de la cartera óptima para distintos eventos que se presentaron al inicio de la pandemia, cambiando periódicamente la participación de cada stock. Como resultado se obtuvo un alto rendimiento durante los días previos a la aparición del primer caso de Sars-Cov-2 y un desempeño deficiente luego de la primera cuarentena decretada.
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Derechos de autor 2024 Alisson Jimenez
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