FECHAS BANCOLOMBIA rt diarias rt semanales Semanas 5 días

miércoles 1 2/24/2021 31800 0.02387 0.01905

martes 2 2/23/2021 31050 0.00161 0.00484
lunes 3 2/22/2021 31000 -0.00322 0.00323
viernes 4 2/19/2021 31100 0.00678 0.00807 VaR diario
jueves 5 2/18/2021 30890 -0.00999 -0.00549
miércoles 6 2/17/2021 31200 0.00966 -0.00989 1
martes 7 2/16/2021 30900 0.00000 -0.02524 2
lunes 8 2/15/2021 30900 0.00162 -0.02398 3
… 9 2/12/2021 30850 -0.00678 -0.02085 4
10 2/11/2021 31060 -0.01438 0.00193
11 2/10/2021 31510 -0.00570 0.01632 VaR semanal calcula
12 2/9/2021 31690 0.00126 0.00253
13 2/8/2021 31650 0.00475 0.01400
14 2/5/2021 31500 0.01600 0.02899 1
15 2/4/2021 31000 0.00000 0.03613 2
16 2/3/2021 31000 -0.01949 0.03279 3
17 2/2/2021 31610 0.01273 0.02596 4
18 2/1/2021 31210 0.01974 0.02367
19 1/29/2021 30600 0.02314 -0.07126 VaR semanal calculando ap
20 1/28/2021 29900 -0.00334 -0.11219
21 1/27/2021 30000 -0.02632 -0.09834
22 1/26/2021 30800 0.01044 -0.10996 1
23 1/25/2021 30480 -0.07519 -0.12620 2
24 1/19/2021 32860 -0.01780 -0.06309 3
25 1/18/2021 33450 0.01052 -0.04815 4
26 1/15/2021 33100 -0.03794 -0.03590
27 1/14/2021 34380 -0.00580 0.00818
28 1/13/2021 34580 -0.01207 -0.03103
29 1/12/2021 35000 -0.00285 0.04380
30 1/8/2021 35100 0.02276 0.00342
31 1/7/2021 34310 0.00614 -0.01648
32 1/6/2021 34100 -0.04501 -0.01166
33 1/5/2021 35670 0.06276 0.04501
34 1/4/2021 33500 -0.04323 -0.01599
35 12/30/2020 34980 0.00286 0.01759
36 12/29/2020 34880 0.01095 0.05359
37 12/28/2020 34500 0.01166 -0.01153
38 12/24/2020 34100 0.00176 -0.03175
39 12/23/2020 34040 -0.00965 0.00088
40 12/22/2020 34370 0.03886 0.01880
41 12/21/2020 33060 -0.05416 0.01095
42 12/18/2020 34900 -0.00856 0.08675
43 12/17/2020 35200 0.03439 0.10410
44 12/16/2020 34010 0.00827 0.06092
45 12/15/2020 33730 0.03101 0.09412
46 12/14/2020 32700 0.02164 0.06638
47 12/11/2020 32000 0.00879 0.08474
48 12/10/2020 31720 -0.00879 0.09657
49 12/9/2020 32000 0.04147 0.12641
50 12/7/2020 30700 0.00326 0.10355
51 12/4/2020 30600 0.04001 0.10355
52 12/3/2020 29400 0.02062 0.06354
53 12/2/2020 28800 0.02105 0.03894
54 12/1/2020 28200 0.01861 -0.00354
55 11/30/2020 27680 0.00326 -0.01861
56 11/27/2020 27590 0.00000 -0.00326
57 11/26/2020 27590 -0.00398 0.02273
58 11/25/2020 27700 -0.02143 0.02560
59 11/24/2020 28300 0.00354 0.06346
60 11/23/2020 28200 0.01861 0.06596
61 11/20/2020 27680 0.02598 0.06492
62 11/19/2020 26970 -0.00111 0.01457
63 11/18/2020 27000 0.01643 0.02437
64 11/17/2020 26560 0.00604 -0.00825
65 11/13/2020 26400 0.01758 0.03469
66 11/12/2020 25940 -0.02437 0.02974
67 11/11/2020 26580 0.00869 0.06168
68 11/10/2020 26350 -0.01619 0.06062
69 11/9/2020 26780 0.04898 0.08898
70 11/6/2020 25500 0.01263 0.06146
71 11/5/2020 25180 0.00757 0.03147
 72 11/4/2020 24990 0.00763 -0.02763
73 11/3/2020 24800 0.01217 -0.04340
74 10/30/2020 24500 0.02145 -0.01980
75 10/29/2020 23980 -0.01736 -0.04525
76 10/28/2020 24400 -0.05152 -0.05035
77 10/27/2020 25690 -0.00814 -0.00427
78 10/26/2020 25900 0.03577 0.02859
79 10/23/2020 24990 -0.00399 0.02677
80 10/22/2020 25090 -0.02246 0.03199
81 10/21/2020 25660 -0.00544 0.02686
82 10/20/2020 25800 0.02472 0.04763
83 10/19/2020 25170 0.03394 -0.01263
84 10/16/2020 24330 0.00123 -0.04540
85 10/15/2020 24300 -0.02760 -0.01471
86 10/14/2020 24980 0.01533 -0.00439
87 10/13/2020 24600 -0.03554 0.01268
88 10/9/2020 25490 0.00118 0.03961
89 10/8/2020 25460 0.03193 0.05241
90 10/7/2020 24660 -0.01729 0.01553
91 10/6/2020 25090 0.03240 0.02543
92 10/5/2020 24290 -0.00861 -0.02480
93 10/2/2020 24500 0.01397 -0.02817
94 10/1/2020 24160 -0.00495 -0.03338
95 9/30/2020 24280 -0.00739 -0.02922
96 9/29/2020 24460 -0.01783 -0.01380
97 9/28/2020 24900 -0.01198 -0.01752
98 9/25/2020 25200 0.00877 -0.03892
99 9/24/2020 24980 -0.00080 -0.02842
100 9/23/2020 25000 0.00803 -0.01430
101 9/22/2020 24800 -0.02154 -0.02154
102 9/21/2020 25340 -0.03338 -0.01021
103 9/18/2020 26200 0.01927 0.00153
104 9/17/2020 25700 0.01332 -0.03141
105 9/16/2020 25360 0.00079 -0.07371
106 9/15/2020 25340 -0.01021 -0.06493
107 9/14/2020 25600 -0.02164 -0.06722
108 9/11/2020 26160 -0.01367 -0.04119
109 9/10/2020 26520 -0.02899 -0.02899
110 9/9/2020 27300 0.00957 -0.01455
111 9/8/2020 27040 -0.01250 -0.01323
112 9/7/2020 27380 0.00439 0.05172
113 9/4/2020 27260 -0.00147 0.02076
114 9/3/2020 27300 -0.01455 0.02147
115 9/2/2020 27700 0.01089 0.02560
116 9/1/2020 27400 0.05245 0.01471
117 8/31/2020 26000 -0.02657 -0.03031
118 8/28/2020 26700 -0.00075 0.01890
119 8/27/2020 26720 -0.01042 0.04204
120 8/26/2020 27000 0.00000 0.05246
121 8/26/2020 27000 0.00743 0.05637
122 8/25/2020 26800 0.02264 0.06553
123 8/24/2020 26200 0.02239 0.02630
124 8/21/2020 25620 0.00000 0.01891
125 8/21/2020 25620 0.00391 0.00469
126 8/20/2020 25520 0.01659 0.02862
127 8/19/2020 25100 -0.01659 0.01283
128 8/18/2020 25520 0.01500 0.00471
129 8/14/2020 25140 -0.01422 0.00558
130 8/13/2020 25500 0.02783 0.00629
131 8/12/2020 24800 0.00081 -0.00803
132 8/11/2020 24780 -0.02471 -0.03334
133 8/10/2020 25400 0.01587 -0.05365
134 8/6/2020 25000 -0.01351 -0.05449
135 8/5/2020 25340 0.01351 -0.04476
136 8/4/2020 25000 -0.02450 -0.05221
137 8/3/2020 25620 -0.04503 -0.02923
138 7/31/2020 26800 0.01504 0.05051
139 7/30/2020 26400 -0.00378 0.03547
140 7/29/2020 26500 0.00606 0.06228
141 7/28/2020 26340 -0.00152 0.06997
142 7/27/2020 26380 0.03471 0.07639
143 7/24/2020 25480 0.00000 0.04659
144 7/23/2020 25480 0.02303 0.06569
145 7/22/2020 24900 0.01375 0.03183
146 7/21/2020 24560 0.00490 -0.00487
147 7/17/2020 24440 0.00492 -0.02185
148 7/16/2020 24320 0.01910 -0.01954
149 7/15/2020 23860 -0.01084 -0.06648
150 7/14/2020 24120 -0.02295 0.00000
151 7/13/2020 24680 -0.01208 0.00977
152 7/10/2020 24980 0.00723 0.00160
153 7/9/2020 24800 -0.02783 0.02863
154 7/8/2020 25500 0.05564 0.06062
155 7/7/2020 24120 -0.01318 0.00749
156 7/6/2020 24440 -0.02025 0.02570
157 7/3/2020 24940 0.03426 0.00805
158 7/2/2020 24100 0.00416 -0.03666
159 7/1/2020 24000 0.00250 -0.05748
160 6/30/2020 23940 0.00503 -0.13426
161 6/26/2020 23820 -0.03790 -0.07207
162 6/25/2020 24740 -0.01045 -0.02475
163 6/24/2020 25000 -0.01666 -0.01980
164 6/23/2020 25420 -0.07428 -0.01095
165 6/19/2020 27380 0.06722 0.08218
166 6/18/2020 25600 0.00942 -0.02698
167 6/17/2020 25360 -0.00551 -0.13412
168 6/16/2020 25500 -0.00781 -0.14910
169 6/12/2020 25700 0.01885 -0.10692
170 6/11/2020 25220 -0.04193 -0.07998
171 6/10/2020 26300 -0.09773 -0.01883
172 6/9/2020 29000 -0.02048 0.14842
173 6/8/2020 29600 0.03437 0.16810
174 6/5/2020 28600 0.04579 0.13453
175 6/4/2020 27320 0.01922 0.14214
176 6/3/2020 26800 0.06953 0.11118
177 6/2/2020 25000 -0.00080 0.11429
178 6/1/2020 25020 0.00080 0.16473
179 5/29/2020 25000 0.05340 0.14156
180 5/28/2020 23700 -0.01175 0.09649
181 5/27/2020 23980 0.07263 0.10360
182 5/26/2020 22300 0.04964 0.00269
183 5/22/2020 21220 -0.02237 -0.01404
184 5/21/2020 21700 0.00833 0.01019
185 5/20/2020 21520 -0.00464 -0.03381
186 5/19/2020 21620 -0.02827 -0.08338
187 5/18/2020 22240 0.03291 -0.05935
188 5/15/2020 21520 0.00186 -0.10907
189 5/14/2020 21480 -0.03567 -0.12088
190 5/13/2020 22260 -0.05421 -0.03270
191 5/12/2020 23500 -0.00425 -0.01184
192 5/11/2020 23600 -0.01681 -0.02262
193 5/8/2020 24000 -0.00995 -0.05354
194 5/7/2020 24240 0.05251 -0.03167
195 5/6/2020 23000 -0.03335 -0.10318
196 5/5/2020 23780 -0.01503 -0.02983
197 5/4/2020 24140 -0.04772 0.04664
198 4/30/2020 25320 0.01192 0.03292
199 4/29/2020 25020 -0.01900 0.00964
200 4/28/2020 25500 0.04001 0.02783
201 4/27/2020 24500 0.06144 -0.06709
202 4/24/2020 23040 -0.06144 -0.13991
203 4/23/2020 24500 -0.01136 -0.09271
204 4/22/2020 24780 -0.00081 -0.07837
205 4/21/2020 24800 -0.05492 -0.07457
206 4/20/2020 26200 -0.01139 -0.02859
207 4/17/2020 26500 -0.01424 0.01521
208 4/16/2020 26880 0.00298 0.03329
209 4/15/2020 26800 0.00299 0.05365
210 4/14/2020 26720 -0.00894 0.11573
211 4/13/2020 26960 0.03242 0.12467
212 4/8/2020 26100 0.00384 0.08388
213 4/7/2020 26000 0.02335 0.03603
214 4/6/2020 25400 0.06506 0.01427
215 4/3/2020 23800 0.00000 -0.07681
216 4/2/2020 23800 -0.00837 -0.08069
217 4/1/2020 24000 -0.04402 0.08701
218 3/31/2020 25080 0.00160 0.30430
219 3/30/2020 25040 -0.02602 0.29195
220 3/27/2020 25700 -0.00388 0.24577
221 3/26/2020 25800 0.15933 0.25464
222 3/25/2020 22000 0.17327 -0.03922
223 3/24/2020 18500 -0.01075 -0.23667
224 3/20/2020 18700 -0.07220 -0.42488
225 3/19/2020 20100 0.00499 -0.39714
226 3/18/2020 20000 -0.13453 -0.46122
227 3/17/2020 22880 -0.02418 -0.31718
228 3/16/2020 23440 -0.19896 -0.44833
229 3/12/2020 28600 -0.04445 -0.27200
230 3/11/2020 29900 -0.05909 -0.22648
231 3/10/2020 31720 0.00950 -0.14692
232 3/9/2020 31420 -0.15533 -0.19329
233 3/6/2020 36700 -0.02263 -0.06078
234 3/5/2020 37540 0.00107 -0.05089
235 3/4/2020 37500 0.02047 -0.05651
236 3/3/2020 36740 -0.03687 -0.09348
237 3/2/2020 38120 -0.02282 -0.05014
238 2/28/2020 39000 -0.01274 -0.03823
239 2/27/2020 39500 -0.00455 -0.10470
240 2/26/2020 39680 -0.01650 -0.10742
241 2/25/2020 40340 0.00647 -0.08457
242 2/24/2020 40080 -0.01092 -0.10371
243 2/21/2020 40520 -0.07921 -0.09818
244 2/20/2020 43860 -0.00727 -0.01404
245 2/19/2020 44180 0.00636 0.00454
246 2/18/2020 43900 -0.01268
247 2/17/2020 44460 -0.00538
248 2/14/2020 44700 0.00493
249 2/13/2020 44480 0.01130
250 2/12/2020 43980
Rent promedio -0.00130 -0.00718
varianza 0.001250191 0.0090925563
volatilidad 0.0353580403 0.0953548965

Otra forma
0.03535804 0.095354896
Volatilidad
 Invesión VP (millones) 500
Nivel de confianza 0.99
Factor alfa 𝑲(𝜶) 2.326347874

Media(promedio diario) -0.00130

Volatilidad diaria
VaR diario porcentual con promedio
VaR diario en u.m. con promedio
VaR diario porcentual sin promedio
VaR diario en u.m. sin promedio
0.0353580403
8.36% K(alfa)*volatidad-promedio
41.778692958 Vo*[K(alfa)*volatidad-promedio]
8.23%
41.127550999 Vo*K(alfa)*volatidad

VaR semanal calculando rentabilidades semanales

Media(promedio semanal) -0.00718
Volatilidad semanal 0.0953548965
VaR semanal porcentual con promedio 22.90%
VaR semanal en u.m. con promedio 114.50322779
VaR semanal porcentual sin promedio 22.18%
VaR semanal en u.m. sin promedio 110.91433037

VaR semanal calculando aplicando la "Regla de la raíz cuadrada"

Media(promedio semanal) -0.00651 Media diaria*5
volatilidad semanal 0.0790629818 Volat. diaria*Raiz(5)
VaR semanal porcentual con promedio 19.04%
VaR semanal en u.m. con promedio 95.219709575
VaR semanal porcentual sin promedio 18.39%
VaR semanal en u.m. sin promedio 91.963999782
INTERPRETACIÓN
La máxima pérdida diaria con un nivel de confianza de 99% que se puede tener en un día teniendo en cuenta el promedio.

La máxima pérdida diaria con un nivel de confianza de 99% que se puede tener en un día sin tener en cuenta el promedio.
Se estima que máximo en el 1% de los casos, se espera que la pérdida de la inversión supere los 41,13 millones

Al tener en cuenta el promedio, el riesgo es mayor. Se está manejando un método más conservador

1 semana= 5 dias
ue se puede tener en un día teniendo en cuenta el promedio.

ue se puede tener en un día sin tener en cuenta el promedio.

pérdida de la inversión supere los 41,13 millones

manejando un método más conservador