Ajuste de Distribución para Variables Únicas

Resumen Estadístico

Distribución Ajustada Cauchy

Alfa 0.01
Beta 0.01

Estadístico Kolmogorov-Smirnov 0.09

Prueba Estadística para P-Value 0.4629

Real Teórica
Media 0.01 NeuN
Desviación Estándar 0.04 NeuN
Asimetría 2.01 NeuN
Curtósis 8.41 NeuN

Datos Originales Ajustados

-0.09 -0.07 -0.05 -0.04 -0.04 -0.03 -0.03 -0.02 -0.01 -0.01 -0.01 -0.01 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.01 0.01 0.01 0.01 0.01 0.01 0.01 0.01
0.01 0.01 0.01 0.01 0.01 0.01 0.01 0.01 0.01 0.01 0.01 0.02 0.02
0.02 0.02 0.02 0.02 0.02 0.02 0.02 0.03 0.03 0.03 0.03 0.03 0.04
0.05 0.05 0.06 0.06 0.07 0.10 0.10 0.10 0.11 0.14 0.22
 Ajuste de Distribución para Variables Únicas

Resumen Estadístico

Supuesto Ajustado 0.01

Distribución Ajustada Cauchy

Alfa 0.01
Beta 0.01

Estadístico Kolmogorov-Smirnov 0.09

Prueba Estadística para P-Value 0.4629

Real Teórica
Media 0.01 NeuN
Desviación Estándar 0.04 NeuN
Asimetría 2.01 NeuN
Curtósis 8.41 NeuN

Datos Originales Ajustados

-0.09 -0.07 -0.05 -0.04 -0.04 -0.03 -0.03 -0.02 -0.01 -0.01 -0.01 -0.01 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.01 0.01 0.01 0.01 0.01 0.01 0.01 0.01
0.01 0.01 0.01 0.01 0.01 0.01 0.01 0.01 0.01 0.01 0.01 0.02 0.02
0.02 0.02 0.02 0.02 0.02 0.02 0.02 0.03 0.03 0.03 0.03 0.03 0.04
0.05 0.05 0.06 0.06 0.07 0.10 0.10 0.10 0.11 0.14 0.22
 Tabla estadística del pronóstico - Nueva Simulación

Celda Fondeo 1
Nombre $E$102
Número de Intentos 10,000
Media -156817.689914427
Mediana 72062.6984635966
Desviación Standard 25807515.7588754
Variación 666027869644600.0000
Coeficiente de Variación -16457.02%
Máximo 558744822.919186
Mínimo -2285773106.6897
Rango 2844517929.60888
Asimetría -72.6687
Curtósis 6326.1345
Percentil 25% -18182.3649341684
Percentil 75% 163054.097126741
Precisión de Error 95% 322.55%
Percentil 5% -503341.41194951
Percentil 10% -208903.224291172
Percentil 20% -50101.9778641676
Percentil 30% 6156.3714729415
Percentil 40% 43824.3685887517
Percentil 50% 72062.2755309526
Percentil 60% 102126.346104479
Percentil 70% 139067.182145252
Percentil 80% 197130.930218597
Percentil 90% 345414.900398156
Percentil 95% 627115.005876956 PERDIDA
Percentil 99% 2663256.07520607 2820073.7651205
 VaR Paramétrico VaR Simulación Histórica

Volatilidad logarítmica 4.00%

Nivel de confianza 99.00% Nivel de confianza
Z 2.33
Porción volatil 9.3% Porción volatil
VaR Parmétrico 951,090 VaR Simulación histórica

DIA FECHA Fondeo 1 Cambios % ln

MARTES 1 6/8/2004 2,991,542 Percentil

MIERCOLES 2 6/9/2004 2,993,542 0.07% 1 98.88%
JUEVES 3 6/10/2004 3,035,474 1.39% 2 97.75%
VIERNES 4 6/11/2004 3,044,732 0.30% 3 96.63%
LUNES 5 6/14/2004 3,016,853 -0.92% 4 95.51%
MARTES 6 6/15/2004 3,018,488 0.05% 5 94.38%
MIERCOLES 7 6/16/2004 2,901,333 -3.96% 6 93.26%
JUEVES 8 6/17/2004 3,115,996 7.14% 7 92.13%
VIERNES 9 6/18/2004 3,195,996 2.53% 8 91.01%
LUNES 10 6/21/2004 3,184,893 -0.35% 9 89.89%
MARTES 11 6/22/2004 3,526,600 10.19% 10 88.76%
MIERCOLES 12 6/23/2004 3,207,988 -9.47% 11 87.64%
JUEVES 13 6/24/2004 3,548,185 10.08% 12 86.52%
VIERNES 14 6/25/2004 3,552,647 0.13% 13 85.39%
LUNES 15 6/28/2004 3,555,647 0.08% 14 84.27%
MARTES 16 6/29/2004 3,647,658 2.55% 15 83.15%
MIERCOLES 17 6/30/2004 4,044,688 10.33% 16 82.02%
JUEVES 18 7/1/2004 4,060,487 0.39% 17 80.90%
VIERNES 19 7/2/2004 4,682,781 14.26% 18 79.78%
LUNES 20 7/5/2004 4,785,593 2.17% 19 78.65%
MARTES 21 7/6/2004 4,731,715 -1.13% 20 77.53%
MIERCOLES 22 7/7/2004 4,739,565 0.17% 21 76.40%
JUEVES 23 7/8/2004 4,736,588 -0.06% 22 75.28%
VIERNES 24 7/9/2004 4,436,072 -6.55% 23 74.16%
LUNES 25 7/12/2004 4,447,923 0.27% 24 73.03%
MARTES 26 7/13/2004 4,463,301 0.35% 25 71.91%
MIERCOLES 27 7/14/2004 4,490,280 0.60% 26 70.79%
JUEVES 28 7/15/2004 4,501,990 0.26% 27 69.66%
VIERNES 29 7/16/2004 4,566,479 1.42% 28 68.54%
LUNES 30 7/19/2004 4,363,047 -4.56% 29 67.42%
MARTES 31 7/20/2004 4,393,770 0.70% 30 66.29%
MIERCOLES 32 7/21/2004 4,890,328 10.71% 31 65.17%
JUEVES 33 7/22/2004 5,067,898 3.57% 32 64.04%
VIERNES 34 7/23/2004 5,202,859 2.63% 33 62.92%
LUNES 35 7/26/2004 5,202,859 0.00% 34 61.80%
MARTES 36 7/27/2004 5,234,859 0.61% 35 60.67%
MIERCOLES 37 7/28/2004 5,300,558 1.25% 36 59.55%
JUEVES 38 7/29/2004 5,200,783 -1.90% 37 58.43%
VIERNES 39 7/30/2004 5,500,062 5.60% 38 57.30%
LUNES 40 8/2/2004 5,332,520 -3.09% 39 56.18%
MARTES 41 8/3/2004 5,439,069 1.98% 40 55.06%
MIERCOLES 42 8/4/2004 5,462,869 0.44% 41 53.93%
JUEVES 43 8/5/2004 5,447,915 -0.27% 42 52.81%
VIERNES 44 8/6/2004 5,472,226 0.45% 43 51.69%
LUNES 45 8/9/2004 5,487,288 0.27% 44 50.56%
MARTES 46 8/10/2004 5,423,676 -1.17% 45 49.44%
MIERCOLES 47 8/11/2004 5,747,784 5.80% 46 48.31%
JUEVES 48 8/12/2004 5,809,659 1.07% 47 47.19%
VIERNES 49 8/13/2004 5,809,659 0.00% 48 46.07%
LUNES 50 8/16/2004 5,817,186 0.13% 49 44.94%
MARTES 51 8/17/2004 5,855,466 0.66% 50 43.82%
MIERCOLES 52 8/18/2004 5,851,120 -0.07% 51 42.70%
JUEVES 53 8/19/2004 5,987,458 2.30% 52 41.57%
VIERNES 54 8/20/2004 6,019,188 0.53% 53 40.45%
LUNES 55 8/23/2004 5,789,415 -3.89% 54 39.33%
MARTES 56 8/24/2004 5,993,623 3.47% 55 38.20%
MIERCOLES 57 8/25/2004 6,109,442 1.91% 56 37.08%
JUEVES 58 8/26/2004 6,172,778 1.03% 57 35.96%
VIERNES 59 8/27/2004 6,177,585 0.08% 58 34.83%
LUNES 60 8/30/2004 6,235,664 0.94% 59 33.71%
MARTES 61 8/31/2004 6,269,317 0.54% 60 32.58%
MIERCOLES 62 9/1/2004 6,288,502 0.31% 61 31.46%
JUEVES 63 9/2/2004 6,288,589 0.00% 62 30.34%
VIERNES 64 9/3/2004 6,310,132 0.34% 63 29.21%
LUNES 65 9/6/2004 6,372,902 0.99% 64 28.09%
MARTES 66 9/7/2004 6,527,988 2.40% 65 26.97%
MIERCOLES 67 9/8/2004 6,838,038 4.64% 66 25.84%
JUEVES 68 9/9/2004 6,851,579 0.20% 67 24.72%
VIERNES 69 9/10/2004 7,021,383 2.45% 68 23.60%
LUNES 70 9/13/2004 7,012,330 -0.13% 69 22.47%
MARTES 71 9/14/2004 7,081,613 0.98% 70 21.35%
MIERCOLES 72 9/15/2004 7,226,338 2.02% 71 20.22%
JUEVES 73 9/16/2004 7,247,193 0.29% 72 19.10%
VIERNES 74 9/17/2004 7,287,192 0.55% 73 17.98%
LUNES 75 9/20/2004 7,296,099 0.12% 74 16.85%
MARTES 76 9/21/2004 7,352,953 0.78% 75 15.73%
MIERCOLES 77 9/22/2004 7,406,508 0.73% 76 14.61%
JUEVES 78 9/23/2004 7,413,263 0.09% 77 13.48%
VIERNES 79 9/24/2004 7,514,126 1.35% 78 12.36%
LUNES 80 9/27/2004 9,318,564 21.52% 79 11.24%
MARTES 81 9/28/2004 9,280,543 -0.41% 80 10.11%
MIERCOLES 82 9/29/2004 9,733,877 4.77% 81 8.99%
JUEVES 83 9/30/2004 9,985,514 2.55% 82 7.87%
VIERNES 84 10/1/2004 10,004,145 0.19% 83 6.74%
LUNES 85 10/4/2004 10,211,799 2.05% 84 5.62%
MARTES 86 10/5/2004 10,117,443 -0.93% 85 4.49%
MIERCOLES 87 10/6/2004 10,147,013 0.29% 86 3.37%
JUEVES 88 10/7/2004 10,380,048 2.27% 87 2.25%
VIERNES 89 10/8/2004 10,501,819 1.17% 88 1.12%
LUNES 90 10/11/2004 10,229,282 -2.63% 89 0.00%
0.01
141309.5284
aR Simulación Histórica VaR Simulación de Montecarlo

97.75% Nivel de confianza

Función de distribución
6.55% Porción volatil
670,506 VaR Simulación de Montecarlo

Cambios % medidos
por logarítmos
ordenados 0.07%
-9.47%
-6.55%
-4.56%
-3.96%
-3.89%
-3.09%
-2.63%
-1.90%
-1.17%
-1.13%
-0.93%
-0.92%
-0.41%
-0.35%
-0.27%
-0.13%
-0.07%
-0.06%
0.00%
0.00%
0.00%
0.05%
0.07%
0.08%
0.08%
0.09%
0.12%
0.13%
0.13%
0.17%
0.19%
0.20%
0.26%
0.27%
0.27%
0.29%
0.29%
0.30%
 0.31%
0.34%
0.35%
0.39%
0.44%
0.45%
0.53%
0.54%
0.55%
0.60%
0.61%
0.66%
0.70%
0.73%
0.78%
0.94%
0.98%
0.99%
1.03%
1.07%
1.17%
1.25%
1.35%
1.39%
1.42%
1.91%
1.98%
2.02%
2.05%
2.17%
2.27%
2.30%
2.40%
2.45%
2.53%
2.55%
2.55%
2.63%
3.47%
3.57%
4.64%
4.77%
5.60%
5.80%
7.14%
10.08%
10.19%
10.33%
10.71%
14.26%
21.52%
612.49 6.96 4262.9304 612.49
debo trans
197.4 6.96 1373.904 1640.68 x
98.7
98.7
197.4