Examinando por Materia "Modelos Garch"

Mostrando 1 - 4 de 4
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    Ítem
    Construir un modelo financiero para calcular el VAR para Fondo de Inversión Colectiva con pacto de permanencia Avanzar 180 días
    (Universidad EAFIT, 2018) Cardona Cardona, Madeleyne; Moreno Muñoz, Andrés Rodrigo; Pérez Ramírez, Fredy Ocaris
    Within the strategy of the Coomeva Group, Coomeva Fiduciary was set up with the aim of expanding the portfolio of services to its members -- In this process, the registration and approval of the Collective Investment Fund with a permanence pact ADVANCED 180 days was managed to provide investment options to associated and non-associated clients -- In the optimal operating conditions of the Fund, its necessary to build a Financial Model that supports the timely monitoring and control of the assets that comprise it, for to keep it free of toxic assets that could put its profitability and liquidity at risk -- Therefore, in the present work, the modeling and analysis of data of different financial assets was carried out and, in accordance with this, the most appropriate model was established to calculate the VaR of the portfolio, through methods of wide recognition in this matter
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    Ítem
    Estimación de un modelo del precio de la energía eléctrica en Colombia con detección de puntos de volatilidad, utilizando la transformada Wavelet y series de tiempo
    (Universidad EAFIT, 2018) Arbeláez Arcila, Jesús Alonso; Trespalacios Carrasquilla, Alfredo
    In this document we propose a technique to estimate a model of the price of electric power in Colombia, using the filtering properties of the Discrete Wavelet Transform (DWT) and the traditional time series modeling techniques ARIMA, GARCH; in addition, the detection of points of change in the variance of the price series through the detection method of multiple changes in a sequence of dependent variables; the series of spot prices is decomposed in a series of approximation and several details, then each sub-series separately is modeled with the technique that best fits the data -- The final forecast is the sum of the reconstructed forecasts obtained from each sub-series -- The most important conclusion of the proposed model is to allow greater precision in the forecast and, in turn, detect points of volatility change due to exogenous variables in the series of spot prices of the Colombian electricity market
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    Ítem
    Flujos de capital extranjero, volatilidad de los rendimientos, riesgo de mercado mundial, ARCH-GARCH,VAR
    (Universidad EAFIT, 2009) Castaño Espinal, Milena María; Agudelo Rueda, Diego Alonso
    This study measured the effect of foreign capital flows on volatility and exposure to world market risk in the six largest Latin American stock markets: Argentina, Brazil, Colombia, Chile, Mexico and Peru, from the late 90’s until 2008. This will test whether these flows cause instability for those markets and increase their exposure to international financial crises. Time series models,both univariate (ARCH - GARCH) and multivariate (VAR), are used to estimate the effect foreign portfolio flows on the risk variables and the causality of these effects. Unlike similar research, this study uses the Foreign Funds database of Emerging Portfolio. It should be noted that in most cases there is not strong evidence to support the hypothesis that foreign flows cause instability on the Latin American stock Markets. However, we found evidence of effects of exchange rate appreciation, international returns and foreign flows on stock market returns, like other studies on different emerging markets.
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    Ítem
    Modelo de Black-Litterman para la optimización de portafolios con views obtenidos por modelación de volatilidad
    (Universidad EAFIT, 2018) Valencia García, Jorge Andrei; Trespalacios Carrasquilla, Alfredo
    The Black-Litterman model incorporates the market equilibrium returns and investors views to generate a new prediction of the return of the portfolio -- This model is applied for the optimization of stock portfolios in Colombia -- The main difference compared to the existing literature in Colombia is the use of GARCH processes for forecasting the returns that are used as views in the optimizer -- Portfolios are modeled weekly with a horizon of 20 trading days for the second semester of 2017 and the real returns of those portfolios adjusted by Black-Litterman versus the reference portfolios are compared -- It is found that 58.82% of portfolios outperform COLCAP with the suggested methodology. In addition, comparisons are made with respect to the measure of value aggregation (α), with Black-Litterman presenting a better performance