CalculO del VaR

Davivienda
Date Precio cierre 100 R*U VARIANZA
2/19/2019 17,093 Rij.R^IJ (Rij.R^IJ)2
2/15/2019 17,042 0.004 0.003 0.0027672 0.000007657
2/14/2019 17,080 0.004 -0.002 - 0.0024502 0.000006004
2/13/2019 17,018 0.004 0.004 0.0034179 0.000011682
2/12/2019 17,089 0.004 -0.004 - 0.0043801 0.000019186
2/11/2019 16,943 0.004 0.009 0.0083918 0.000070422
2/8/2019 17,041 0.004 -0.006 - 0.0059763 0.000035716
2/7/2019 17,021 0.004 0.001 0.0009496 0.000000902
2/6/2019 17,350 0.004 -0.019 - 0.0191648 0.000367288
2/5/2019 17,344 0.004 0.000 0.0001191 0.000000014
2/4/2019 17,052 0.004 0.017 0.0168841 0.000285071
2/1/2019 16,581 0.004 0.028 0.0281796 0.000794087
1/31/2019 16,573 0.004 0.000 0.0002553 0.000000065
1/30/2019 16,454 0.004 0.007 0.0069758 0.000048662
1/29/2019 15,402 0.004 0.068 0.0681092 0.004638863
1/28/2019 15,563 0.004 -0.010 - 0.0105901 0.000112150
1/25/2019 15,709 0.004 -0.009 - 0.0094800 0.000089870
1/24/2019 15,205 0.004 0.033 0.0329115 0.001083165
1/23/2019 15,326 0.004 -0.008 - 0.0081515 0.000066448
1/22/2019 15,265 0.004 0.004 0.0038189 0.000014584
1/18/2019 15,615 0.004 -0.022 - 0.0226715 0.000513999
1/17/2019 15,519 0.004 0.006 0.0059341 0.000035213
1/16/2019 15,428 0.004 0.006 0.0057123 0.000032631
1/15/2019 15,242 0.004 0.012 0.0119912 0.000143790
1/14/2019 14,936 0.004 0.020 0.0202413 0.000409712
1/11/2019 15,164 0.004 -0.015 - 0.0152624 0.000232942
1/10/2019 15,314 0.004 -0.010 - 0.0100435 0.000100871
1/9/2019 15,266 0.004 0.003 0.0029708 0.000008826
1/8/2019 15,011 0.004 0.017 0.0167564 0.000280777
1/7/2019 14,730 0.004 0.019 0.0188376 0.000354857
1/4/2019 14,763 0.004 -0.002 - 0.0024512 0.000006008
1/3/2019 14,158 0.004 0.043 0.0424639 0.001803182
1/2/2019 15,725 0.004 -0.100 - 0.0998328 0.009966587
12/31/2018 15,707 0.004 0.001 0.0009157 0.000000839
12/28/2018 15,556 0.004 0.010 0.0094399 0.000089111
12/27/2018 15,548 0.004 0.001 0.0002870 0.000000082
12/26/2018 15,650 0.004 -0.006 - 0.0067153 0.000045095
12/24/2018 14,620 0.004 0.070 0.0701961 0.004927498
12/21/2018 15,009 0.004 -0.026 - 0.0260994 0.000681178
12/20/2018 15,616 0.004 -0.039 - 0.0391211 0.001530458
12/19/2018 16,020 0.004 -0.025 - 0.0254600 0.000648214
12/18/2018 16,536 0.004 -0.031 - 0.0314171 0.000987033
12/17/2018 16,324 0.004 0.013 0.0127672 0.000163001
12/14/2018 16,477 0.004 -0.009 - 0.0095316 0.000090852
12/13/2018 17,022 0.004 -0.032 - 0.0322231 0.001038325
12/12/2018 16,838 0.004 0.011 0.0107148 0.000114807
12/11/2018 16,791 0.004 0.003 0.0025618 0.000006563
12/10/2018 16,888 0.004 -0.006 - 0.0059448 0.000035340
12/7/2018 16,777 0.004 0.007 0.0063625 0.000040481
12/6/2018 17,397 0.004 -0.036 - 0.0358824 0.001287546
12/4/2018 17,594 0.004 -0.011 - 0.0113749 0.000129388
12/3/2018 18,403 0.004 -0.044 - 0.0442141 0.001954888
11/30/2018 17,782 0.004 0.035 0.0347169 0.001205263
11/29/2018 17,878 0.004 -0.005 - 0.0056278 0.000031672
11/28/2018 18,017 0.004 -0.008 - 0.0079075 0.000062528
11/27/2018 17,350 0.004 0.038 0.0382273 0.001461327
11/26/2018 17,387 0.004 -0.002 - 0.0024015 0.000005767
11/23/2018 17,155 0.004 0.014 0.0132983 0.000176846
11/21/2018 17,603 0.004 -0.025 - 0.0256242 0.000656599
11/20/2018 17,622 0.004 -0.001 - 0.0013554 0.000001837
11/19/2018 18,507 0.004 -0.048 - 0.0480033 0.002304321
11/16/2018 19,270 0.004 -0.040 - 0.0398575 0.001588623
11/15/2018 19,059 0.004 0.011 0.0108503 0.000117729
11/14/2018 18,600 0.004 0.025 0.0244534 0.000597970
11/13/2018 19,141 0.004 -0.028 - 0.0284727 0.000810697
11/12/2018 19,334 0.004 -0.010 - 0.0102166 0.000104380
11/9/2018 20,360 0.004 -0.050 - 0.0505996 0.002560319
11/8/2018 20,760 0.004 -0.019 - 0.0195069 0.000380520
11/7/2018 20,833 0.004 -0.003 - 0.0037144 0.000013797
11/6/2018 20,219 0.004 0.030 0.0301028 0.000906178
11/5/2018 20,003 0.004 0.011 0.0105887 0.000112121
11/2/2018 20,588 0.004 -0.028 - 0.0286137 0.000818742
11/1/2018 22,050 0.004 -0.066 - 0.0665561 0.004429711
10/31/2018 21,717 0.004 0.015 0.0151269 0.000228822
10/30/2018 21,165 0.004 0.026 0.0258411 0.000667764
10/29/2018 21,060 0.004 0.005 0.0047689 0.000022742
10/26/2018 21,463 0.004 -0.019 - 0.0189955 0.000360829
10/25/2018 21,810 0.004 -0.016 - 0.0161490 0.000260790
10/24/2018 21,343 0.004 0.022 0.0216724 0.000469695
10/23/2018 22,101 0.004 -0.034 - 0.0345270 0.001192113
10/22/2018 21,894 0.004 0.009 0.0092013 0.000084664
10/19/2018 21,761 0.004 0.006 0.0058846 0.000034628
10/18/2018 21,435 0.004 0.015 0.0150047 0.000225142
10/17/2018 21,948 0.004 -0.023 - 0.0235990 0.000556914
10/16/2018 22,043 0.004 -0.004 - 0.0045467 0.000020673
10/15/2018 21,568 0.004 0.022 0.0218117 0.000475751
10/12/2018 22,039 0.004 -0.021 - 0.0216112 0.000467044
10/11/2018 21,279 0.004 0.036 0.0354940 0.001259822
10/10/2018 21,469 0.004 -0.009 - 0.0090534 0.000081963
10/9/2018 22,512 0.004 -0.046 - 0.0465514 0.002167033
10/8/2018 22,204 0.004 0.014 0.0136281 0.000185724
10/5/2018 22,256 0.004 -0.002 - 0.0025438 0.000006471
10/4/2018 22,623 0.004 -0.016 - 0.0164542 0.000270742
10/3/2018 23,028 0.004 -0.018 - 0.0178063 0.000317063
10/2/2018 22,751 0.004 0.012 0.0119432 0.000142639
10/1/2018 22,550 0.004 0.009 0.0086631 0.000075049
9/28/2018 22,399 0.004 0.007 0.0065080 0.000042354
9/27/2018 22,321 0.004 0.004 0.0032866 0.000010801
9/26/2018 21,872 0.004 0.021 0.0203263 0.000413157
9/25/2018 22,047 0.004 -0.008 - 0.0081916 0.000067102
9/24/2018 21,908 0.004 0.006 0.0061155 0.000037400
9/21/2018 21,598 0.004 0.014 0.0141547 0.000200356
9/20/2018 21,833 0.004 -0.011 - 0.0109966 0.000120926
9/19/2018 21,668 0.004 0.008 0.0073764 0.000054412
9/18/2018 21,655 0.004 0.001 0.0003703 0.000000137
9/17/2018 21,620 0.004 0.002 0.0014269 0.000002036
9/14/2018 22,211 0.004 -0.027 - 0.0268515 0.000721002
9/13/2018 22,466 0.004 -0.011 - 0.0115766 0.000134018
9/12/2018 21,936 0.004 0.024 0.0239298 0.000572637
9/11/2018 22,212 0.004 -0.012 - 0.0126444 0.000159881
9/10/2018 21,664 0.004 0.025 0.0250575 0.000627877
9/7/2018 21,959 0.004 -0.013 - 0.0136461 0.000186216
9/6/2018 22,137 0.004 -0.008 - 0.0082936 0.000068783
9/5/2018 22,512 0.004 -0.017 - 0.0168428 0.000283679
9/4/2018 22,659 0.004 -0.007 - 0.0067502 0.000045565
8/31/2018 22,587 0.004 0.003 0.0029815 0.000008890
8/30/2018 22,329 0.004 0.012 0.0113286 0.000128338
8/29/2018 22,126 0.004 0.009 0.0089683 0.000080431
8/28/2018 21,800 0.004 0.015 0.0147040 0.000216207
8/27/2018 21,625 0.004 0.008 0.0078502 0.000061626
8/24/2018 21,449 0.004 0.008 0.0080093 0.000064149
8/23/2018 21,382 0.004 0.003 0.0028838 0.000008316
8/22/2018 21,339 0.004 0.002 0.0018207 0.000003315
8/21/2018 21,338 0.004 0.000 - 0.0001789 0.000000032
8/20/2018 21,379 0.004 -0.002 - 0.0021748 0.000004730
8/17/2018 21,590 0.004 -0.010 - 0.0099689 0.000099378
8/16/2018 21,167 0.004 0.020 0.0197446 0.000389848
8/15/2018 20,861 0.004 0.015 0.0144246 0.000208069
8/14/2018 20,813 0.004 0.002 0.0021107 0.000004455
8/13/2018 20,725 0.004 0.004 0.0039877 0.000015902
8/10/2018 20,593 0.004 0.006 0.0062316 0.000038832
8/9/2018 20,654 0.004 -0.003 - 0.0032040 0.000010266
 8/8/2018 20,493 0.004 0.008 0.0076395 0.000058362
8/7/2018 20,479 0.004 0.001 0.0004506 0.000000203
8/6/2018 20,673 0.004 -0.009 - 0.0096003 0.000092165
8/3/2018 20,566 0.004 0.005 0.0049672 0.000024673
8/2/2018 20,507 0.004 0.003 0.0026678 0.000007117
8/1/2018 19,924 0.004 0.029 0.0290054 0.000841314
7/31/2018 18,816 0.004 0.059 0.0586847 0.003443893
7/30/2018 18,778 0.004 0.002 0.0017755 0.000003152
7/27/2018 18,884 0.004 -0.006 - 0.0058280 0.000033965
7/26/2018 19,203 0.004 -0.017 - 0.0168570 0.000284159
7/25/2018 19,264 0.004 -0.003 - 0.0033565 0.000011266
7/24/2018 19,084 0.004 0.009 0.0092047 0.000084726
7/23/2018 18,946 0.004 0.007 0.0070289 0.000049406
7/20/2018 18,930 0.004 0.001 0.0006626 0.000000439
7/19/2018 18,973 0.004 -0.002 - 0.0025185 0.000006343
7/18/2018 18,827 0.004 0.008 0.0075478 0.000056969
7/17/2018 18,931 0.004 -0.005 - 0.0057099 0.000032603
7/16/2018 18,877 0.004 0.003 0.0026032 0.000006776
7/13/2018 18,919 0.004 -0.002 - 0.0024206 0.000005859
7/12/2018 18,889 0.004 0.002 0.0013451 0.000001809
7/11/2018 18,578 0.004 0.017 0.0165406 0.000273592
7/10/2018 18,822 0.004 -0.013 - 0.0132014 0.000174278
7/9/2018 18,845 0.004 -0.001 - 0.0014323 0.000002051
7/6/2018 18,586 0.004 0.014 0.0136597 0.000186588
7/5/2018 18,332 0.004 0.014 0.0136367 0.000185959
7/3/2018 18,186 0.004 0.008 0.0078216 0.000061177
7/2/2018 18,508 0.004 -0.017 - 0.0176418 0.000311232
6/29/2018 18,304 0.004 0.011 0.0109570 0.000120055
6/28/2018 18,342 0.004 -0.002 - 0.0023278 0.000005418
6/27/2018 18,210 0.004 0.007 0.0070508 0.000049714
6/26/2018 18,236 0.004 -0.001 - 0.0016893 0.000002854
6/25/2018 18,013 0.004 0.012 0.0121806 0.000148366
6/22/2018 18,285 0.004 -0.015 - 0.0150966 0.000227907
6/21/2018 18,338 0.004 -0.003 - 0.0031372 0.000009842
6/20/2018 18,441 0.004 -0.006 - 0.0058018 0.000033661
6/19/2018 18,361 0.004 0.004 0.0041367 0.000017113
6/18/2018 18,663 0.004 -0.016 - 0.0163853 0.000268477
6/15/2018 18,672 0.004 -0.001 - 0.0007548 0.000000570
6/14/2018 18,866 0.004 -0.010 - 0.0104979 0.000110207
6/13/2018 18,856 0.004 0.001 0.0002990 0.000000089
6/12/2018 19,013 0.004 -0.008 - 0.0084426 0.000071277
6/11/2018 18,909 0.004 0.005 0.0052653 0.000027723
6/8/2018 18,955 0.004 -0.002 - 0.0026771 0.000007167
6/7/2018 19,129 0.004 -0.009 - 0.0093229 0.000086917
6/6/2018 19,181 0.004 -0.003 - 0.0029060 0.000008445
 6/5/2018 19,114 0.004 0.003 0.0032405 0.000010501
6/4/2018 18,968 0.004 0.008 0.0074898 0.000056097
6/1/2018 18,811 0.004 0.008 0.0081324 0.000066136
5/31/2018 18,478 0.004 0.018 0.0178086 0.000317148
5/30/2018 18,540 0.004 -0.003 - 0.0035854 0.000012855
5/29/2018 18,580 0.004 -0.002 - 0.0023543 0.000005543
5/25/2018 18,647 0.004 -0.004 - 0.0038313 0.000014679
5/24/2018 18,604 0.004 0.002 0.0020600 0.000004244
5/23/2018 18,625 0.004 -0.001 - 0.0013402 0.000001796
5/22/2018 18,506 0.004 0.006 0.0061861 0.000038268
5/21/2018 18,553 0.004 -0.003 - 0.0027302 0.000007454
5/18/2018 18,422 0.004 0.007 0.0068595 0.000047053
5/17/2018 18,490 0.004 -0.004 - 0.0038619 0.000014914
5/16/2018 18,607 0.004 -0.006 - 0.0065490 0.000042890
5/15/2018 18,435 0.004 0.009 0.0091073 0.000082942
5/14/2018 18,604 0.004 -0.009 - 0.0093139 0.000086748
5/11/2018 18,648 0.004 -0.002 - 0.0025585 0.000006546
5/10/2018 18,719 0.004 -0.004 - 0.0040286 0.000016230
5/9/2018 18,455 0.004 0.014 0.0140785 0.000198205
5/8/2018 18,326 0.004 0.007 0.0068158 0.000046455
5/7/2018 18,238 0.004 0.005 0.0045813 0.000020989
5/4/2018 18,107 0.004 0.007 0.0070095 0.000049133
5/3/2018 17,424 0.004 0.039 0.0390080 0.001521626
5/2/2018 17,392 0.004 0.002 0.0015868 0.000002518
5/1/2018 16,656 0.004 0.044 0.0439497 0.001931579
4/30/2018 16,278 0.004 0.023 0.0230107 0.000529494
4/27/2018 15,989 0.004 0.018 0.0178869 0.000319941
4/26/2018 16,176 0.004 -0.012 - 0.0117953 0.000139128
4/25/2018 16,120 0.004 0.003 0.0032577 0.000010613
4/24/2018 16,050 0.004 0.004 0.0041320 0.000017073
4/23/2018 16,276 0.004 -0.014 - 0.0141445 0.000200066
4/20/2018 16,323 0.004 -0.003 - 0.0031218 0.000009746
4/19/2018 17,021 0.004 -0.041 - 0.0411977 0.001697247
4/18/2018 17,517 0.004 -0.028 - 0.0285654 0.000815985
4/17/2018 17,557 0.004 -0.002 - 0.0024696 0.000006099
4/16/2018 17,318 0.004 0.014 0.0135387 0.000183295
4/13/2018 17,211 0.004 0.006 0.0060128 0.000036154
4/12/2018 17,153 0.004 0.003 0.0031627 0.000010003
4/11/2018 16,985 0.004 0.010 0.0096330 0.000092795
4/10/2018 17,065 0.004 -0.005 - 0.0049006 0.000024016
4/9/2018 16,750 0.004 0.019 0.0185925 0.000345682
4/6/2018 16,585 0.004 0.010 0.0096926 0.000093946
4/5/2018 17,021 0.004 -0.026 - 0.0258040 0.000665845
4/4/2018 16,904 0.004 0.007 0.0067088 0.000045008
4/3/2018 16,586 0.004 0.019 0.0188970 0.000357096
 4/2/2018 16,418 0.004 0.010 0.0100337 0.000100675
3/29/2018 16,526 0.004 -0.007 - 0.0067816 0.000045990
3/28/2018 16,398 0.004 0.008 0.0075834 0.000057507
3/27/2018 16,582 0.004 -0.011 - 0.0112745 0.000127114
3/26/2018 17,018 0.004 -0.026 - 0.0258665 0.000669076
3/23/2018 16,247 0.004 0.047 0.0472466 0.002232239
3/22/2018 16,632 0.004 -0.023 - 0.0233821 0.000546722
3/21/2018 16,870 0.004 -0.014 - 0.0143551 0.000206069
3/20/2018 17,261 0.004 -0.023 - 0.0228801 0.000523498
3/19/2018 17,267 0.004 0.000 - 0.0005677 0.000000322
3/16/2018 17,535 0.004 -0.015 - 0.0155045 0.000240388
3/15/2018 17,597 0.004 -0.004 - 0.0037518 0.000014076
3/14/2018 17,576 0.004 0.001 0.0009515 0.000000905
3/13/2018 17,727 0.004 -0.009 - 0.0087268 0.000076157
3/12/2018 17,899 0.004 -0.010 - 0.0098556 0.000097133
3/9/2018 17,728 0.004 0.010 0.0094423 0.000089157
3/8/2018 17,429 0.004 0.017 0.0169555 0.000287491
3/7/2018 17,240 0.004 0.011 0.0106870 0.000114212
3/6/2018 17,402 0.004 -0.009 - 0.0095082 0.000090407
3/5/2018 17,417 0.004 -0.001 - 0.0010737 0.000001153
3/2/2018 17,357 0.004 0.003 0.0032364 0.000010474
3/1/2018 17,238 0.004 0.007 0.0066890 0.000044742
2/28/2018 17,545 0.004 -0.018 - 0.0177416 0.000314766
2/27/2018 17,571 0.004 -0.002 - 0.0017391 0.000003024
2/26/2018 17,629 0.004 -0.003 - 0.0034661 0.000012014
2/23/2018 17,287 0.004 0.020 0.0195468 0.000382076
2/22/2018 16,991 0.004 0.017 0.0171659 0.000294668
2/21/2018 16,850 0.004 0.008 0.0081337 0.000066157
2/20/2018 16,927 0.004 -0.005 - 0.0047642 0.000022698
1.000

Rentabilidad R*U 0.00023

Varianza 0.0003705
Riesgo Desv 0.0192
Promedio 0.000225
Monto Accionario 7000
Vlr accion 01/03/2018 17,238
Nivel de Significancia F 99%
F=Z 2.326
Monto S 120,662,650
T 8
VaR 15,282,856.72

El estudiante deberá realizar el calculo del VaR para 3 acciones de tecnologia, servicios financieros,
conglomerados, farmaceuticos , con un nivel de inversion de 8500 acciones, desde el 1 de dic 2018 al 1 de marzo
2019 , con una inversión inicial el 3 diciembre de 2018 para poder mitigar el Var expuesto 15 días después de la
inversión con una significancia del 95 y el 99 % y definir el análisis.
 El estudiante deberá realizar el calculo del VaR para 3 acciones de tecnologia, servicios financieros,
conglomerados, farmaceuticos , con un nivel de inversion de 8500 acciones, desde el 1 de dic 2018 al 1 de marzo
2019 , con una inversión inicial el 3 diciembre de 2018 para poder mitigar el Var expuesto 15 días después de la
inversión con una significancia del 95 y el 99 % y definir el análisis.

Significancia Niveles
95%
99%
90%
RIANZA
(Rij.R^IJ)2*
0.0000000
0.0000000
0.0000000
0.0000001
0.0000003
0.0000001
0.0000000
0.0000015
0.0000000
0.0000011
0.0000032
0.0000000
0.0000002
0.0000186
0.0000004
0.0000004
0.0000043
0.0000003
0.0000001
0.0000021
0.0000001
0.0000001
0.0000006
0.0000016
0.0000009
0.0000004
0.0000000
0.0000011
0.0000014
0.0000000
0.0000072
0.0000399
0.0000000
0.0000004
0.0000000
0.0000002
0.0000197
0.0000027
0.0000061
0.0000026
0.0000039
0.0000007
0.0000004
0.0000042
0.0000005
0.0000000
0.0000001
0.0000002
0.0000052
0.0000005
0.0000078
0.0000048
0.0000001
0.0000003
0.0000058
0.0000000
0.0000007
0.0000026
0.0000000
0.0000092
0.0000064
0.0000005
0.0000024
0.0000032
0.0000004
0.0000102
0.0000015
0.0000001
0.0000036
0.0000004
0.0000033
0.0000177
0.0000009
0.0000027
0.0000001
0.0000014
0.0000010
0.0000019
0.0000048
0.0000003
0.0000001
0.0000009
0.0000022
0.0000001
0.0000019
0.0000019
0.0000050
0.0000003
0.0000087
0.0000007
0.0000000
0.0000011
0.0000013
0.0000006
0.0000003
0.0000002
0.0000000
0.0000017
0.0000003
0.0000001
0.0000008
0.0000005
0.0000002
0.0000000
0.0000000
0.0000029
0.0000005
0.0000023
0.0000006
0.0000025
0.0000007
0.0000003
0.0000011
0.0000002
0.0000000
0.0000005
0.0000003
0.0000009
0.0000002
0.0000003
0.0000000
0.0000000
0.0000000
0.0000000
0.0000004
0.0000016
0.0000008
0.0000000
0.0000001
0.0000002
0.0000000
0.0000002
0.0000000
0.0000004
0.0000001
0.0000000
0.0000034
0.0000138
0.0000000
0.0000001
0.0000011
0.0000000
0.0000003
0.0000002
0.0000000
0.0000000
0.0000002
0.0000001
0.0000000
0.0000000
0.0000000
0.0000011
0.0000007
0.0000000
0.0000007
0.0000007
0.0000002
0.0000012
0.0000005
0.0000000
0.0000002
0.0000000
0.0000006
0.0000009
0.0000000
0.0000001
0.0000001
0.0000011
0.0000000
0.0000004
0.0000000
0.0000003
0.0000001
0.0000000
0.0000003
0.0000000
0.0000000
0.0000002
0.0000003
0.0000013
0.0000001
0.0000000
0.0000001
0.0000000
0.0000000
0.0000002
0.0000000
0.0000002
0.0000001
0.0000002
0.0000003
0.0000003
0.0000000
0.0000001
0.0000008
0.0000002
0.0000001
0.0000002
0.0000061
0.0000000
0.0000077
0.0000021
0.0000013
0.0000006
0.0000000
0.0000001
0.0000008
0.0000000
0.0000068
0.0000033
0.0000000
0.0000007
0.0000001
0.0000000
0.0000004
0.0000001
0.0000014
0.0000004
0.0000027
0.0000002
0.0000014
 0.0000004
0.0000002
0.0000002
0.0000005
0.0000027
0.0000089
0.0000022
0.0000008
0.0000021
0.0000000
0.0000010
0.0000001
0.0000000
0.0000003
0.0000004
0.0000004
0.0000011
0.0000005
0.0000004
0.0000000
0.0000000
0.0000002
0.0000013
0.0000000
0.0000000
0.0000015
0.0000012
0.0000003
0.0000001
0.0003705

vicios financieros,
e dic 2018 al 1 de marzo
o 15 días después de la
.