Medidas alternativas de volatilidad en el mercado de valores peruano

Abstract

This paper aims to compare the main methodologies to estimate the volatility of Peruvian stock market. Three main methods for volatility estimation are introduced, EWMA model, GARCH model and Stochastic Volatility (SV) model. To compare these methods we use a Value at Risk application and a backtesting exercise. The results shows that all three methods provide similar volatility estimates, however GARCH and SV models are superior to EWMA model in terms of Value at Risk estimates. Moreover, the backtesting exercise implemented does not show significant differences between the GARCH model and the SV model.