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Un modelo TGARCH con una distribución t de Student asimétrica y las hipotesis de racionalidad de los inversionistas bursátiles en Latinoamérica
[A TGARCH model with an asymmetric Student´s t distribution and the rationality hypotheses of stock investors in Latin America]

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

Abstract

We propose an ARCH model of the TGARCH type with an asymmetric Student's t distribution. It is built using the methodology of Fernandez and Steel (1998) and the traditional TGARCH model developed by Zakoian (1994). The model is used to describe series of stock market returns and to assess the validity of the rationality hypotheses in Latin America. The results suggest that: 1) The series can be described adequately with the proposed model; (2) the Samuelson´s rationality hypothesis is consistent with the evidence of the markets of Argentina, Brazil, Chile, Colombia and Mexico; 3) the traditional rationality hypothesis is consistent with the evidence of Peru; and (4) the volatility estimated with the proposed model are higher than those estimated with the traditional TGARCH model over the period 2008-2009.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 53019.

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Date of creation: 17 Jan 2014
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Handle: RePEc:pra:mprapa:53019

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Keywords: Density Distribution; Asymmetric t-Student; TGARCH; Stock Market Returns; Latin America;

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  1. 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.
  2. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, Econometric Society, vol. 59(2), pages 347-70, March.
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  12. Borch, Karl, 1969. "A Note on Uncertainty and Indifference Curves," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 36(105), pages 1-4, January.
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  15. 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.
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