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Capacidad de predicción de los modelos GARCH simétricos aplicados a variables financieras de México 2001-2011

Author

Listed:
  • Villalba-Padilla, Fátima Irina

    (Instituto Politécnico Nacional Fecha de recepción: noviembre 2011 - fecha de aceptación: febrero 2012)

  • Flores-Ortega, Miguel

    (Instituto Politécnico Nacional)

Abstract

Este documento presenta los resultados de la evaluación de la capacidad de pronóstico de los modelos garch simétricos aplicados al ipc, el embi, la tasa de fondeo gubernamental, el tipo de cambio fix y la mezcla mexicana de petróleo, como elementos característicos del comportamiento del mercado financiero mexicano y como variables fundamentales para la toma de decisiones de inversión. Se analizan las aportaciones relevantes que incorporan la volatilidad y sus efectos en los procesos de pronóstico que se agrupan en los modelos garch simétricos y se extiende su aplicación a las variables mencionadas./ This document presents the results of the evaluation of the forecast capacity of the symmetric garch models of the following financial variables: ipc, embi, interest rate, exchange rate and Mexican oil mix, as core elements of the economical behavior and basic foundations with regard to investment decisions. This document includes an analysis of the volatility and its effects in forecast processes related to garch models and its application is extended to the above mentioned financial variables.

Suggested Citation

  • Villalba-Padilla, Fátima Irina & Flores-Ortega, Miguel, 2012. "Capacidad de predicción de los modelos GARCH simétricos aplicados a variables financieras de México 2001-2011," eseconomía, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 0(34), pages 81-124, segundo t.
    • Handle: RePEc:ipn:esecon:v:vii:y:2012:i:34:p:81-124
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    References listed on IDEAS

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    More about this item

    Keywords

    GARCH; pronósticos; variables financieras; volatilidad./ GARCH; forecasting; financial variables; volatility.;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Other
    • 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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