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Un modelo Tgarch con una distribución t de student asimétrica y las hipótesis de racionalidad de los inversionistas bursátiles en Latinoamérica

Author

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  • Arturo Lorenzo Valdés

    (Universidad de las Américas)

  • Antonio Ruiz Porras

    (Universidad de Guadalajara)

Abstract

Proponemos un modelo ARCH de tipo TGARCH con una distribución t de Student asimétrica. El mismo se construye usando la metodología de Fernández y Steel (1998) y el modelo TGARCH tradicional desarrollado por Zakoian (1994). El modelo se usa para describir series de rendimientos bursátiles y para evaluar la validez de las hipótesis de racionalidad en Latinoamérica. Los resultados sugieren que:1) Las series de rendimientos analizadas pueden describirse adecuadamente con el modelo propuesto; 2) la hipótesis de racionalidad de Samuelson es consistente con la evidencia de los mercados de Argentina, Brasil, Chile, Colombia y México;3) la hipótesis tradicional de racionalidad es consistente con la evidencia de Perú; y 4) las volatilidades estimadas mediante el modelo propuesto son mayores que las estimadas mediante el modelo TGARCH tradicional durante el periodo 2008-2009.

Suggested Citation

  • Arturo Lorenzo Valdés & Antonio Ruiz Porras, 2014. "Un modelo Tgarch con una distribución t de student asimétrica y las hipótesis de racionalidad de los inversionistas bursátiles en Latinoamérica," Archivos Revista Economía y Política., Facultad de Ciencias Económicas y Administrativas, Universidad de Cuenca., vol. 19, pages 66-97, Enero.
    • Handle: RePEc:cun:journl:v:19:y:2014:p:66-97
    DOI: 10.25097/rep.n19.2014.03
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    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F30 - International Economics - - International Finance - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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