A Comparison of the Extreme Value Theory and GARCH models in terms of risk measures

Ezgi Nevruz; Şule Şahin

doi:10.26360/2018_7

Autores/as

Ezgi Nevruz Hacettepe University, Ankara (Turkey)
Şule Şahin University of Liverpool, Liverpool (United Kingdom)

DOI:

https://doi.org/10.26360/2018_7

Palabras clave:

Teoría de Valores Extremos, modelos GARCH, Índice de Desarrollo Humano, medidas de riesgo, Valor en riesgo

Resumen

En este trabajo aplicamos Teoría de Valores Extremos (EVT) y modelos de series temporales a ocho mercados bursátiles desarrollados y emergentes, publicados en el índice Morgan Stanley Capital International (MSCI). Basándonos en los rankings del Human Development Index (HDI), que son consistentes con el índice MSCI, analizamos Singapur, España, Reino Unido y Estados Unidos para los mercados bursátiles desarrollados, y Chile, Rusia, Malasia y Turquía para los mercados bursátiles emergentes. Utilizamos los precios diarios (en dólares USD) de estos ocho países para el período desde enero de 2014 a diciembre de 2017, y examinamos el funcionamiento de los modelos basados en el testeo en muestras. Calculando el valor en riesgo (VaR) como medida de riesgo para las colas derecha e izquierda del retorno en logaritmos de los modelos seleccionados, comparamos estos países en términos de sus riesgos ﬁnancieros. Las medidas de riesgo obtenidas nos permiten debatir la agrupación y el ranking de los mercados bursátiles y sus posiciones relativas.

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