Avaliação do risco mediante modelos GARCH e simulação Montecarlo: evidência do mercado acionista colombiano

This paper evaluates the performance of several volatility models for estimating one-day-ahead Value-at-Risk (VaR) of twenty-four stocks return series in Colombia, using a number of distributional assumptions. Because all return series exhibit volatility clustering and long-range memory, GARCH-type models including models under normal, T-Student and generalized error distribution are examined. The findings corroborate the difficulty of choosing a single model for calculating VaR, but validate the use of parametric models with normal distribution and Montecarlo simulation in emerging financial markets.Este documento evalúa el comportamiento de varios modelos de volatilidad en estimaciones de un día del valor en riesgo (VaR) de veinticuatro series de retornos de acciones en Colombia con diferentes distribuciones. Al considerar que todas las series de retornos presentan clúster de volatilidad y memoria de largo plazo, se utilizan modelos tipo GARCH que incluyen diferentes distribuciones: normal, T-Student y GED. Los hallazgos corroboran la dificultad de elegir un único modelo para el cálculo del VaR, pero validan el uso de modelos paramétricos con distribución normal y simulación Montecarlo en mercados financieros emergentes.Este documento avalia o comportamento de vários modelos de volatilidade em estimativas de um dia do Value at Risk (VaR) de 24 séries de retornos das ações na Colômbia com diferentes distribuições. Ao considerar que todas as séries de retornos apresentam cluster de volatilidade e memória de longo prazo, são utilizados modelos tipo GARCH que incluem diferentes distribuições: normal, t-student e GED. Os achados corroboram a dificuldade de escolher um único modelo para calcular o VaR, mas validam o uso de modelos paramétricos com distribuição normal e simulação Montecarlo em mercados financeiros emergentes

Serological survey for Chagas disease in the rural areas of Manaus, Coari, and Tefé in the Western Brazilian Amazon

INTRODUCTION: Deforestation, uncontrolled forest, human population migration from endemic areas, and the large number of reservoirs and wild vectors naturally infected by Trypanosoma cruzi promote the endemicity of Chagas disease in the Amazon region. METHODS: We conducted an initial serological survey (ELISA) in a sample of 1,263 persons; 1,095 (86.7%) were natives of the State of Amazonas, 666 (52.7%) were male, and 948 (75.1%) were over 20 years old. Serum samples that were found to be reactive, indeterminate, or inconclusive by indirect immunofluorescence (IFI) or positive with low titer by IFA were tested by Western blot (WB). Serologically confirmed patients (WB) were evaluated in terms of epidemiological, clinical, ECG, and echocardiography characteristics. RESULTS: Fifteen patients had serologically confirmed T. cruzi infection, and 12 of them were autochthonous to the state of Amazonas, for an overall seroprevalence of 1.2% and 0.9% for the state of Amazonas. Five of the 15 cases were males, and the average age was 47 years old; most were farmers with low education. One patient who was not autochthonous, having originated from Alagoas, showed right bundle branch block, bundle branch block, and anterosuperior left ventricular systolic dysfunction with an ejection fraction of 54%. CONCLUSIONS: The results of this study ratify the importance of monitoring CD cases in Amazonia, particularly in the state of Amazonas