<?xml version="1.0" encoding="ISO-8859-1"?><article xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<front>
<journal-meta>
<journal-id>0188-3380</journal-id>
<journal-title><![CDATA[Economía: teoría y práctica]]></journal-title>
<abbrev-journal-title><![CDATA[Econ: teor. práct]]></abbrev-journal-title>
<issn>0188-3380</issn>
<publisher>
<publisher-name><![CDATA[Universidad Autónoma Metropolitana, a través de la Unidad Iztapalapa, la Unidad Azcapotzalco y la Unidad Xochimilco, División de Ciencias Sociales]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S0188-33802023000100173</article-id>
<article-id pub-id-type="doi">10.24275/etypuam/ne/582023/jesus</article-id>
<title-group>
<article-title xml:lang="es"><![CDATA[El uso de la volatilidad implícita en el modelado de la varianza condicional puede mejorar la predicción de la volatilidad y la estimación del VaR y CVaR]]></article-title>
<article-title xml:lang="en"><![CDATA[The Use of Implied Volatility in Conditional Variance Modeling Can Improve Volatility Forecasting and VaR and CVaR Estimation]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Jesús-Gutiérrez]]></surname>
<given-names><![CDATA[Raúl de]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Universidad Autónoma del Estado de México  ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Mexico</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>06</month>
<year>2023</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>06</month>
<year>2023</year>
</pub-date>
<numero>58</numero>
<fpage>173</fpage>
<lpage>198</lpage>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S0188-33802023000100173&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S0188-33802023000100173&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S0188-33802023000100173&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen Este trabajo tiene como objetivo incorporar el índice S&amp;P/BMV IPC VIX en la ecuación de la varianza de los modelos GARCH, EGARCH, FIGARCH y FIEGARCH, con el fin de mejorar la predicción de la volatilidad condicional y estimación del VaR y CVaR para las posiciones corta y larga en el mercado accionario de la Bolsa Mexicana de Valores. Los resultados de la prueba estadística PPS muestran que el índice S&amp;P/BMV IPC VIX proporciona información adicional para mejorar la predicción de la volatilidad condicional, pero su valor económico es mínimo. Los resultados del backtesting revelan que las medidas VaR-FIEGARCHVIX, VaR-EGARCHVIX, CVaR-FIGARCHVIX y CVaR-GARCHVIX presentan el mejor desempeño para la estimación correcta del riesgo en los niveles de confianza convencionales para ambas posiciones. Aunque la superioridad del modelo FIGARCH es evidente para estimar el CVaR de la posición corta. Los hallazgos tienen importantes implicaciones para la administración de riesgos y regulación financiera.]]></p></abstract>
<abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract This paper aims to incorporate the S&amp;P/BMV IPC VIX index into the variance equation of the GARCH, EGARCH, FIGARCH and FIEGARCH models to improve conditional volatility forecasts and VaR and CVaR estimates for the short and long positions on the Mexican Stock Exchange index. The results of the statistical test for spa show that the S&amp;P/BMV IPC VIX index provides additional information for improving the accuracy of conditional volatility forecasting, but its value is economically small. Backtesting results reveal that the VaR-FIEGARCHVIX, VaR-EGARCHVIX, CVaR-FIGARCHVIX and CVaR-GARCHVIX measures are optimal for correctly estimating risk at conventional confidence levels for both financial positions, although the FIGARCH model is clearly superior for short position CVaR forecasts. Findings have important implications for risk management and financial regulation.]]></p></abstract>
<kwd-group>
<kwd lng="es"><![CDATA[Volatilidad implícita]]></kwd>
<kwd lng="es"><![CDATA[Predicción de la volatilidad]]></kwd>
<kwd lng="es"><![CDATA[Valor en riesgo]]></kwd>
<kwd lng="en"><![CDATA[implied volatility]]></kwd>
<kwd lng="en"><![CDATA[volatility forecasting]]></kwd>
<kwd lng="en"><![CDATA[value at risk]]></kwd>
</kwd-group>
</article-meta>
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