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A Comparative Analysis Of Volatility Models In Some Emerging Stock Exchanges

Author

Listed:
  • Jesús Téllez Gaytán

    (Tecnológico de Monterrey, Campus Estado de México)

  • Pablo López Sarabia

    (Tecnológico de Monterrey, Campus Estado de México)

Abstract

Este documento compara la volatilidad entre los índices accionarios de México, Brasil y Argentina a través de los modelos de volatilidad GARCH durante las crisis financieras de los noventa. En un enfoque intra-mercado, el IPyC mostró ser el más volátil en la crisis financiera asiática. En un enfoque inter-mercado, el Bovespa mostró la volatilidad más alta en el periodo de estudio. El IPyC mostró que siempre que los rendimientos caen, el efecto en la volatilidad condicional es mayor durante un mercado alcista. Este comportamiento asimétrico es capturado en las diferencias de las series TGARCH y GARCH, y muestra que rendimientos negativos han dominado a los positivos a pesar de un mercado alcista.

Suggested Citation

  • Jesús Téllez Gaytán & Pablo López Sarabia, 2005. "A Comparative Analysis Of Volatility Models In Some Emerging Stock Exchanges," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 4(2), pages 127-147, Junio 200.
    • Handle: RePEc:imx:journl:v:4:y:2005:i:2:p:127-147
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    More about this item

    Keywords

    Volatility; Financial Crisis; Heteroskedasticity;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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