<?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>1870-6622</journal-id>
<journal-title><![CDATA[EconoQuantum]]></journal-title>
<abbrev-journal-title><![CDATA[EconoQuantum]]></abbrev-journal-title>
<issn>1870-6622</issn>
<publisher>
<publisher-name><![CDATA[Universidad de Guadalajara]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S1870-66222020000200081</article-id>
<article-id pub-id-type="doi">10.18381/eq.v17i2.7125</article-id>
<title-group>
<article-title xml:lang="en"><![CDATA[A conditional heteroscedastic VaR approach with alternative distributions]]></article-title>
<article-title xml:lang="es"><![CDATA[Un enfoque del VaR heterocedástico condicional con distribuciones alternativas]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Serrano Bautista]]></surname>
<given-names><![CDATA[Ramona]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Mata Mata]]></surname>
<given-names><![CDATA[Leovardo]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Universidad Panamericana  ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Mexico</country>
</aff>
<aff id="Af2">
<institution><![CDATA[,Universidad Anáhuac  ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Mexico</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>12</month>
<year>2020</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>12</month>
<year>2020</year>
</pub-date>
<volume>17</volume>
<numero>2</numero>
<fpage>81</fpage>
<lpage>98</lpage>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S1870-66222020000200081&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S1870-66222020000200081&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S1870-66222020000200081&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract:  Objective  The purpose of this paper is to explore different distributions in conditional Value at Risk (VaR) modeling as an option in the Mexican market.  Methodology We estimate a GARCH model under the Gaussian, Normal Inverse Gaussian, Skew Generalized t and the Stable distribution assumption, then we implement the model in predicting one-day ahead VaR and finally we examine the performance among the four VaR models during a period of high volatility.  Results  The backtesting result confirms that the stable-VaR approach outperforms the other models in the VaR&#8217;s prediction at 99% confidence level.  Limitations  Although the VaR is a widely used risk measure is not a coherent risk measure, for this reason, a natural extension of our work should be to estimate the expected shortfall and this may produce different insights.  Conclusions  Our findings reveal that models that consider some empirical characteristic of financial returns such as leptokurtic, volatility clustering and asymmetry improve the VaR predicting capacity. This finding is important in the search more robust approaches for VaR estimates.]]></p></abstract>
<abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen:  Objetivo  El propósito de este trabajo es explorar diferentes distribuciones en la estimación del Valor en Riesgo (VaR) como una opción en el mercado mexicano.  Metodología  Estimamos un modelo GARCH bajo la hipótesis de las distribuciones Gaussiana, Normal Inversa Gaussiana, t-student Sesgada Generalizada y Estable. Implementamos este modelo para predecir los VaR a un día y finalmente examinamos el desempeño de estos cuatro modelos VaR durante una período de alta volatilidad.  Resultados  El resultado del backtesting confirma que el VaR estable a un nivel de confianza del 99% supera a los otros modelos en la predicción del VaR. Limitaciones: Aunque el VaR es una medida de riesgo ampliamente utilizada, no es una medida de riesgo coherente, por esta razón, una extensión natural de nuestra investigación sería estimar el Valor en Riesgo Condicional (CVaR) lo cual podría generar diferentes resultados.  Conclusiones  Nuestros hallazgos revelan que los modelos que consideran algunas características empíricas de los rendimientos financieros, tales como leptocurtosis, agrupamiento de volatilidad y asimetría, mejoran la capacidad de predicción del VaR. Lo anterior es importante en la búsqueda de enfoques más precisos y eficientes en la estimación de VaR.]]></p></abstract>
<kwd-group>
<kwd lng="en"><![CDATA[VaR]]></kwd>
<kwd lng="en"><![CDATA[GARCH]]></kwd>
<kwd lng="en"><![CDATA[Stable distribution]]></kwd>
<kwd lng="en"><![CDATA[Generalized Skew t distribution]]></kwd>
<kwd lng="en"><![CDATA[Normal Inverse Gaussian distribution]]></kwd>
<kwd lng="en"><![CDATA[G17]]></kwd>
<kwd lng="en"><![CDATA[C22]]></kwd>
<kwd lng="en"><![CDATA[C53]]></kwd>
<kwd lng="es"><![CDATA[VaR]]></kwd>
<kwd lng="es"><![CDATA[GARCH]]></kwd>
<kwd lng="es"><![CDATA[distribución estable]]></kwd>
<kwd lng="es"><![CDATA[distribución t-student sesgada generalizada]]></kwd>
<kwd lng="es"><![CDATA[distribución normal inversa gaussiana]]></kwd>
<kwd lng="es"><![CDATA[G17]]></kwd>
<kwd lng="es"><![CDATA[C22]]></kwd>
<kwd lng="es"><![CDATA[C53]]></kwd>
</kwd-group>
</article-meta>
</front><back>
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