"Modelos VaR-GARCH y Portafolios de Inversión Trinacionales en los Mercados Accionarios del TLCAN "

Abstract

This document employs the M-VARCH Methodology (Value-at-Risk Model and Multivariate GARCH models), which presuppose greater conservatism and precision on estimating potential losses of investment portfolios. Regional diversification in stock markets is transcendental, in a global context, because it opens up important opportunities of high returns minimizing risks, because the different degree of development and stability from its markets. The study is applied to the North America Trade Free Agreement (NAFTA) member’s countries employing their principal stock market indexes