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Active portfolio management in the Andean countries'' stock markets with Markov-Switching GARCH models

Author

Listed:
  • Oscar V. De la Torre-Torres

    (Universidad Michoacana de San Nicolás de Hidalgo, Mexico)

  • Dora Aguilasocho-Montoya

    (Universidad Michoacana de San Nicolás de Hidalgo, Mexico)

  • José Álvarez-García

    (Universidad de Extremadura, España)

Abstract

En el presente trabajo se estudia el empleo de modelos markovianos con cambio de régimen (Markov-Switching, MS) de dos regímenes. Estos con varianza constante, ARCH o GARCH, así como con probabilidad gaussiana o t-Student. Los mismos se utilizaron para administrar activamente portafolios en los mercados accionarios andinos (Chile, Colombia y Perú). Al simular 996 semanas de enero del 2000 a enero del 2019, se ejecutó la siguiente estrategia de inversión en dólares de los EEUU: 1) invertir en el activo libre de riesgo si la probabilidad de estar en el régimen de alta volatilidad en t+1 es mayor a 50 % o 2) invertir en el índice accionario en caso contrario. Los resultados sugieren que emplear modelos MS-GARCH gaussianos es lo mejor para la administración activa en el mercado chileno, que el modelo MS-ARCH gaussiano lo es en el colombiano y que es preferible la administración pasiva en Perú.

Suggested Citation

  • Oscar V. De la Torre-Torres & Dora Aguilasocho-Montoya & José Álvarez-García, 2019. "Active portfolio management in the Andean countries'' stock markets with Markov-Switching GARCH models," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(PNEA), pages 601-616, Agosto 20.
    • Handle: RePEc:imx:journl:v:14:y:2019:i:pnea:p:601-616
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    References listed on IDEAS

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    Cited by:

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    More about this item

    Keywords

    Markov-Switching GARCH; Cadenas markovianas; Administración activa de portafolios; Acciones de la región Andina; Finanzas computacionales; Administración de riesgos.;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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