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Volatilidad del mercado accionario y la crisis asiática. Evidencia internacional de asimetrías

Author

Listed:
  • Johnson, Christian A.

    (Escuela de Negocios, Universidad Adolfo Ibáñez, Santiago de Chile)

  • Soriano, Fabián A.

    (Instituto de Ciencias Humanísticas y Económicas de le Escuela Superior Politécnica del Litoral (Espol) Guayaquil, Ecuador. Programa de la Escuela de Graduados, Facultad de Ciencias Económicas y Administrativas, Universidad de Chile, Santiago)

Abstract

This paper analyzes stock market volatility in thirty nine developed and developing countries over a daily simple starting in January 1990 to October 2002, considering conditional autoregressive heteroskedasticity symmetric and asymmetric models such as GARCH, TGRARCH and Exponential models. We found evidence for the leverage effect in most of the international indexes under study. There exists evidence of global instability in the conditional volatility parameters, with the exception of Italy. There exists evidence in favor of a structural break in July 1997, moment in which started the Asian Crisis. Also it is found evidence for asymmetries in the volatility behavior depending if the shock in negative rather that positive. The News Impact Curve reflects such asymmetry. The maximum likelihood functions reach higher values under the asymmetric representation giving evidence supporting TGARCH and EGARCH like models, all superiors to the traditional symmetric GARCH models. These results support the notion of having miss specified volatility models in traditional financial risk evaluation.// Este artículo investiga la volatilidad de los rendimientos accionarios para una muestra de 39 países con datos diarios para el periodo 1990-2002. Se estiman modelos de heteroscedasticidad autorregresivos generalizados, inclusive sus extensiones asimétricas como el modelo umbral (Threshold) y el exponencial. Los resultados muestran presencia del efecto leverage (asimetría) en gran parte de los índices de los rendimientos accionarios analizados, que incluyen un análisis de estabilidad de parámetros para los modelos de volatilidad. Se encuentra inestabilidad en los coeficientes de la volatilidad condicional en todos los países con excepción de Italia, considerando que un quiebre en julio de 1997, momento que define el inicio de la crisis asiática. Se presenta evidencia de asimetría en la volatilidad ante efectos de distintos signos en la mayoría de los países analizados, encontrándose una mayor reacción para los efectos negativos. La curva del efecto de noticias refleja esta asimetría. Los modelos asimétricos del tipo TGARCH(1,1) y EGARCH(1,1) se presentan como dominantes estadísticos al modelo simétrico base GARCH(1,1). Este resultado evidencia el sesgo de especificación que implica el utilizar modelos de volatilidad simétricos, y en particular la subestimación que se produce al momento de aplicar mediciones de riesgo del tipo valor en riesgo para la administración de cartera. Se sugiere que estos modelos son los más apropiados para la obtención de la volatilidad implícita en la valoración de opciones y desarrollo de estrategias dinámicas de coberturas.

Suggested Citation

  • Johnson, Christian A. & Soriano, Fabián A., 2004. "Volatilidad del mercado accionario y la crisis asiática. Evidencia internacional de asimetrías," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(282), pages 355-388, abril-jun.
  • Handle: RePEc:elt:journl:v:71:y:2004:i:282:p:355-388
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    Cited by:

    1. Lorenzo-Valdes, Arturo & Ruiz-Porras, Antonio, 2014. "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 distri
      ," MPRA Paper 53019, University Library of Munich, Germany.

    More about this item

    Keywords

    volatilidad condicional; GARCH; TGARCH; EGARCH; modelo asimétrico; curva del efecto de noticias; prueba de sesgo de signos;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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