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¿Que tan buenos son los patrones del IGBC para predecir su comportamiento?: una aplicación de datos de alta frecuencia

Author

Listed:
  • Julio Cesar Alonso
  • Juan Carlos Garcia

Abstract

Using 18 different specifications of the GARCH-M model and high frequency datafor the Colombian exchange market index (IGBC), we evaluate the out-of-sample performanceof the models. The models considered take in account the leverage effect, the day-of-the-weekeffect, and the hour-of-the-day effect. We evaluate 1000 one-step-ahead rolling forecasts foreach 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 bethe GARCH-M without the leverage effect, the day-of-the-week effect, and the hour-of-the-dayeffect.

Suggested Citation

  • Julio Cesar Alonso & Juan Carlos Garcia, 2009. "¿Que tan buenos son los patrones del IGBC para predecir su comportamiento?: una aplicación de datos de alta frecuencia," Borradores de Economía y Finanzas 5243, Universidad Icesi.
    • Handle: RePEc:col:000130:005243
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    File URL: http://www.icesi.edu.co/dptoeni/publicaciones/docs/BORRAECO/borrador_14_prediccion_igbc.pdf
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    Citations

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    Cited by:

    1. López Gaviria, José Ignacio, 2019. "Predictibilidad del mercado accionario colombiano," Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue 91, pages 117-150, July.
    2. José Ignacio López-Gaviria, 2019. "Colombia’s stock market predictability," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 91, pages 117-150, Julio - D.
    3. Oscar Andrés Espinosa Acuna & Paola Andrea Vaca González, 2017. "Ajuste de modelos garch clásico y bayesiano con innovaciones t—student para el índice COLCAP," Revista de Economía del Caribe 17172, Universidad del Norte.
    4. Héctor Darío Balseiro Barrios & Jorge Armando Luna Amador & Francisco Javier Maza Ávila, 2021. "Análisis de eficiencia financiera de las empresas cotizantes en el mercado accionario colombiano para el periodo 2012- 2017," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, vol. 13(1), pages 19-41, March.
    5. Orlando E. Contreras & Roberto Stein Bronfman & Carlos Enrique Vecino, 2014. "Diseno y evaluación retrospectiva de una estrategia de inversión en el mercado bursátil colombiano mediante la maximización del ratio de Sharpe," Revista Lebret, Universidad Santo Tomás - Bucaramanga, vol. 6, pages 303-320, December.
    6. Oscar Andrés Espinosa Acuna & Paola Andrea Vaca González, 2017. "Ajuste de modelos garch clásico y bayesiano con innovaciones t—student para el índice COLCAP," Revista de Economía del Caribe 17147, Universidad del Norte.

    More about this item

    Keywords

    Intra-day; Colombia; Garch-M; Forecast; leverage effect; the day-of-theweekeffect; and the hour-of-the-day effect;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • F3 - International Economics - - International Finance

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