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Intra-Day-Patterns in the Colombian Exchange Market Index and VAR: Evaluation of Different Approaches

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  • Julio César Alonso

    ()

  • Manuel Serna Cortés

Abstract

This paper evaluates the performance of 17 different parametric and non-parametric specifications and high frequency data for Colombian exchange market index (IGBC). We model the variance of the 10-minute returns using GARCH-M and TGARCH models that take in account the leverage effect, the day-of-the-week effect, and the hour-of-the-day effect. We estimate those models under two assumptions of the behavior of the returns: Normal distribution and t distribution. This exercise is performed for two different ten-minute intraday samples: 2006-2007 and 2008-2009. For the first sample, we found that the best model is a GARCH-M (1,1) with the hour-of-the-day effect. For the 2008-2009 sample, we found that the model with the correct conditional VaR coverage would be the GARCH-M with the day-of-the-week effect, and the hour-of-the-day effect.

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Bibliographic Info

Paper provided by UNIVERSIDAD ICESI in its series BORRADORES DE ECONOMÍA Y FINANZAS with number 007098.

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Length: 26
Date of creation: 12 Jun 2010
Date of revision:
Handle: RePEc:col:000130:007098

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Related research

Keywords: Backtesting; Intra-day; Financial Market; Garch-M; leverage effect; the day-of-the-week effect; the hour-of-the-day effect;

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