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Capacidad predictiva de los modelos ARCH: una aplicación para los rendimientosdel índice de precios y cotizaciones de la Bolsa Mexicana de Valores

Author

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  • Hernández-Mejía, Sergio

    (Universidad Cristóbal Colón, Veracruz, México)

Abstract

Este trabajo tiene por objetivo determinar el modelo que permite explicar con una mayor precisión el rendimiento del índice de precios y cotizaciones de la bolsa mexicana de valores durante el periodo 2000-2008, para lo cual se aplican los modelos de la familia arch. Se analiza la volatilidad del mercado, se comparan los modelos garch, egarch, tarch de acuerdo a los criterios tradicionales de evaluación y se concluye que el modelo egarch (1,1) tiene la mejor capacidad predictiva./ This paper focuses to determine the model that permits to explain with a great performance the returns of the Mexican Stock Market Index during the period 2000-2008, using arch Models. The volatility of the market is analyzed, the model are compared garch, egarch, tarch according to the traditional criteria of evaluation and is concluded that the model one egarch (1.1) provide the best forecast.

Suggested Citation

  • Hernández-Mejía, Sergio, 2011. "Capacidad predictiva de los modelos ARCH: una aplicación para los rendimientosdel índice de precios y cotizaciones de la Bolsa Mexicana de Valores," eseconomía, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 0(30), pages 3-19, segundo t.
    • Handle: RePEc:ipn:esecon:v:vi:y:2011:i:30:p:3-19
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    More about this item

    Keywords

    pronóstico; volatilidad; modelos tipo ARCH; IPC./ forecast; volatility; ARCH- type models; IPC.;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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