Advanced Search
MyIDEAS: Login to save this paper or follow this series

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 asymmetry to model time-series: An application to the returns of the Mexican Stock Market Index]

Contents:

Author Info

  • Durán-Vázquez, Rocio
  • Lorenzo-Valdes, Arturo
  • Ruiz-Porras, Antonio

Abstract

We develop a GARCH model with autoregressive conditional asymmetry to describe time-series. This means that, in addition to the conditional mean and variance, we assume that the skewness describes the behavior of the time-series. Analytically, we use the methodology proposed by Fernández and Steel (1998) to define the behavior of the innovations of the model. We use the approach developed by Brooks, et. al., (2005), to build it. Moreover, we show its usefulness by modeling the daily returns of the Mexican Stock Market Index (IPC) during the period between January 3rd, 2008 and September 29th, 2009.

Download Info

If 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.
File URL: http://mpra.ub.uni-muenchen.de/42548/
File Function: original version
Download Restriction: no

Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 42548.

as in new window
Length:
Date of creation: 07 Nov 2012
Date of revision:
Handle: RePEc:pra:mprapa:42548

Contact details of provider:
Postal: Schackstr. 4, D-80539 Munich, Germany
Phone: +49-(0)89-2180-2219
Fax: +49-(0)89-2180-3900
Web page: http://mpra.ub.uni-muenchen.de
More information through EDIRC

Related research

Keywords: Conditional Asymmetry; GARCH; Skewness; Stock Market Returns; Mexico;

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Jondeau, Eric & Rockinger, Michael, 2003. "Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 27(10), pages 1699-1737, August.
  2. Joseph Chen & Harrison Hong & Jeremy C. Stein, 2000. "Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices," NBER Working Papers 7687, National Bureau of Economic Research, Inc.
  3. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, American Finance Association, vol. 7(1), pages 77-91, 03.
  4. Harvey, Campbell R. & Siddique, Akhtar, 1999. "Autoregressive Conditional Skewness," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 34(04), pages 465-487, December.
  5. Chunhachinda, Pornchai & Dandapani, Krishnan & Hamid, Shahid & Prakash, Arun J., 1997. "Portfolio selection and skewness: Evidence from international stock markets," Journal of Banking & Finance, Elsevier, Elsevier, vol. 21(2), pages 143-167, February.
  6. Hansen, B.E., 1992. "Autoregressive Conditional Density Estimation," RCER Working Papers 322, University of Rochester - Center for Economic Research (RCER).
  7. Doaa Akl Ahmed, 2011. "Modelling the Density of Inflation Using Autoregressive Conditional Heteroscedasticity, Skewness, and Kurtosis Models," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, vol. 0(2), pages 1-28, November.
  8. Lorenzo-Valdes, Arturo & Ruiz-Porras, Antonio, 2011. "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
    ," MPRA Paper 36872, University Library of Munich, Germany.
  9. Chris Brooks, 2005. "Autoregressive Conditional Kurtosis," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 3(3), pages 399-421.
  10. Campbell R. Harvey & Akhtar Siddique, 2000. "Conditional Skewness in Asset Pricing Tests," Journal of Finance, American Finance Association, American Finance Association, vol. 55(3), pages 1263-1295, 06.
  11. White, Halbert & Kim, Tae-Hwan & Manganelli, Simone, 2008. "Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR," Working Paper Series, European Central Bank 0957, European Central Bank.
  12. Duran-Vazquez, Rocio & Lorenzo-Valdes, Arturo & Ruiz-Porras, Antonio, 2011. "Valuation of Latin-American stock prices with alternative versions of the Ohlson model: An investigation of cointegration relationships with time-series and panel-data," MPRA Paper 31354, University Library of Munich, Germany.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:42548. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.