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Volatilidad dinamica en el sector bancario en Mexico: evidencia DCC-GARCH vs Copula-GARCH

Author

Listed:
  • Christian Bucio-Pacheco

    (UAEMex - UAP Huehuetoca)

  • Miriam Sosa-Castro

    (UAM-Iztapalapa)

  • Francisco Reyes-Zarate

    (UAM-Azcapotzalco)

Abstract

Analizar la volatilidad dinamica entre principales bancos situados en Mexico. Se emplean dos metodologias alternas: i) DCC-GARCH y ii) Copula-GARCH con ventanas moviles. Se utilizan los precios accionarios semanales de cierre de cuatro bancos en Mexico: BBVA, Citi-Banamex, Banorte e Inbursa del 27 de enero de 2009 al 29 de octubre de 2021. Se confirma que la correlacion entre volatilidades de los bancos es cambiante. La principal es que no se pudieron incluir mas bancos debido a la evolucion de los precios de sus acciones. La originalidad subyace en el contraste de resultados, a traves de las metodologias propuestas se obtienen resultados similares y estos son mas restrictivos conforme la metodologia incluye una captura distribucional optima sobre el comportamiento de los datos. Al existir patrones diversos de volatilidad entre los principales bancos en Mexico, se puede promover la diversificacion de portafolios.

Suggested Citation

  • Christian Bucio-Pacheco & Miriam Sosa-Castro & Francisco Reyes-Zarate, 2023. "Volatilidad dinamica en el sector bancario en Mexico: evidencia DCC-GARCH vs Copula-GARCH," EconoQuantum, Revista de Economia y Finanzas, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., vol. 20(2), pages 69-93, Julio-Dic.
    • Handle: RePEc:qua:journl:v:20:y:2023:i:2:p:69-93
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    References listed on IDEAS

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    More about this item

    Keywords

    Volatilidad dinamica; Rendimiento de las acciones bancarias; Bolsa Mexicana de Valores; DCC-GARCH; Copula-GARCH.;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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