Asymmetric Volatility Relevance in Risk Management: An Empirical Analysis using Stock Index Futures

The objective of this research work is to show the relevance asymmetries in estimating volatility. methodology consists application ARCH-type models and implied volatilities options (IV) estimate Value-at-Risk (VaR). These for a portfolio stock index futures various time horizons. empirical analysis carried out contracts Standard Poors 500 Mexican Stock Exchange Indices. According results, IV model superior terms precision compared models. It recommended use relevant statistical gains when are included with respect not used. referred range from 4 150 basis points minimum capital risk requirements. originality present showing importance considering asymmetric effects volatility forecasts within management analysis. concluded that means monetary terms.