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Modelación de los rendimientos bursátiles mexicanos mediante los modelos TGARCH y EGARCH: Un estudio econométrico para 30 acciones y el Índice de Precios y Cotizaciones
[Modeling Mexican stock returns with TGARCH and EGARCH models: An econometric study for 30 stocks and the Stock Market Index]

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Author Info

  • Lorenzo-Valdes, Arturo
  • Ruiz-Porras, Antonio

Abstract

We develop a comparative study using the TARCH and EGARCH non-linear econometric models. We use them to describe Mexican stock market returns. We model daily series of returns for 30 stocks and the Stock Market Index (IPC) for the period between December 7, 2005 and August 1, 2011. Most of the series show leverage effects. The results also suggest that the AR(1)-EGARCH(1,1) model describes properly the aggregated returns of the stock market (measured by the IPC). They also show that the AR(1)-TGARCH(1,1) and AR(1)-EGARCH(1,1) models fit 19 and 11 stock return series, respectively. Finally, the results show that the return mean (variance) has decreased (increased) since August 2007.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 36872.

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Date of creation: 05 Sep 2011
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Handle: RePEc:pra:mprapa:36872

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Keywords: TGARCH; EGARCH; Stock returns; Mexico; non linearity;

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References

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  1. Duran-Vazquez, Rocio & Lorenzo-Valdes, Arturo & Ruiz-Porras, Antonio, 2011. "Valuación de acciones mexicanas mediante los modelos de Ohlson y Ohlson-Beta para firmas con ciclos de corto y largo plazos: Un análisis de cointegración
    [Valuation of Mexican stocks with the Ol
    ," MPRA Paper 33054, University Library of Munich, Germany.
  2. BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen, 2003. "Multivariate GARCH models: a survey," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2003031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  3. Ser-Huang Poon & Clive W.J. Granger, 2003. "Forecasting Volatility in Financial Markets: A Review," Journal of Economic Literature, American Economic Association, American Economic Association, vol. 41(2), pages 478-539, June.
  4. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, Econometric Society, vol. 59(2), pages 347-70, March.
  5. Engle III, Robert F., 2003. "Risk and Volatility: Econometric Models and Financial Practice," Nobel Prize in Economics documents, Nobel Prize Committee 2003-4, Nobel Prize Committee.
  6. Fritz Breuss, 2011. "Global financial crisis as a phenomenon of stock market overshooting," Empirica, Springer, Springer, vol. 38(1), pages 131-152, February.
  7. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
  8. Bárbara Trejo & José Antonio Núñez & Arturo Lorenzo, 2006. "Distribución de los rendimientos del mercado mexicano accionario," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 21(1), pages 85-118.
  9. Bollerslev, Tim & Russell, Jeffrey & Watson, Mark (ed.), 2010. "Volatility and Time Series Econometrics: Essays in Honor of Robert Engle," OUP Catalogue, Oxford University Press, Oxford University Press, number 9780199549498, October.
  10. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, Econometric Society, vol. 50(4), pages 987-1007, July.
  11. Ruiz-Porras, Antonio, 2010. "Globalización, ciclos económicos y crisis global, 2007-2010
    [Globalization, business cycles and global crisis, 2007-2010]
    ," MPRA Paper 23183, University Library of Munich, Germany.
  12. French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, Elsevier, vol. 19(1), pages 3-29, September.
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Cited by:
  1. Durán-Vázquez, Rocio & Lorenzo-Valdes, Arturo & Ruiz-Porras, Antonio, 2012. "Un modelo GARCH con asimetría condicional autorregresiva para modelar series de tiempo: Una aplicación para el Indice de Precios y Cotizaciones
    [A GARCH model with autorregresive conditional asym
    ," MPRA Paper 42548, University Library of Munich, Germany.
  2. Duran-Vazquez, Rocio & Lorenzo-Valdes, Arturo & Ruiz-Porras, Antonio, 2013. "Un modelo GARCH con asimetria condicional autorregresiva para modelar series de tiempo: Una aplicacion para los rendimientos del Indice de Precios y Cotizaciones de la BMV
    [A GARCH model with autor
    ," MPRA Paper 46328, University Library of Munich, Germany.

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