¿Que tan buenos son los patrones del IGBC para predecir su comportamiento?: una aplicación de datos de alta frecuencia
AbstractAbstract: Using 18 different specifications of the GARCH-M model and high frequency data for the Colombian exchange market index (IGBC), we evaluate the out-of-sample performance of the models. The models considered take in account the leverage effect, the day-of-the-week effect, and the hour-of-the-day effect. We evaluate 1000 one-step-ahead rolling forecasts for each of the 18 models. Using different descriptive statistics and the Granger and Newbold (1976) test and the Diebold and Mariano (1995) test, we found that the best model would be the GARCH-M without the leverage effect, the day-of-the-week effect, and the hour-of-the-day effect.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by UNIVERSIDAD ICESI in its series BORRADORES DE ECONOMÍA Y FINANZAS with number 005243.
Date of creation: 24 Jan 2009
Date of revision:
Contact details of provider:
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-02-07 (All new papers)
You can help add them by filling out this form.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ximena Duenas).
If references are entirely missing, you can add them using this form.