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Estimación de modelos multivariados GARCH en los mercados accionarios de China y México

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  • Francisco Javier Reyes Zárate

    (Universidad Autónoma Metropolitana)

Abstract

El presente trabajo tiene por finalidad, analizar la existencia de interdependencia entre los mercados bursátiles de China y de México mediante la aplicación de modelos econométricos multivariados heteroscedásticos de series de índices accionarios de los mercados de Shangai, Shenzhen y Hang Seng pertenecientes a China, y el índice de precios y cotizaciones de México. El periodo de análisis comprende del 5 de enero de 2009 al 31 de diciembre de 2014 con un total de 1 563 observaciones diarias. Por un lado se encontró que existen asimetrías en los mercados y una correlación débil, señal de una nula o escasa transmisión de volatilidad entre los mercados de China y México. Sin embargo, este último mercado ofrece mayores ventajas de rendimiento y bajo riesgo. Por otra parte, el modelo CCC explica de mejor forma la conducta de la varianza condicional en el tiempo, siendo éste el modelo que mejor comportamiento y parsimonia demuestra sobre los activos financieros internacionales sujetos a estudio. / This paper aims to analyze the existence of interdependence between China and Mexico’s stock markets by analyzing their financial indexes. Series of stock markets from Shangai, Shenzhen y Hang Seng (this three markets belong to China) and Mexico stock price index are modeled. The analysis covers the period from January 1st, 2009 to December 31st, 2014 with a total of 1,563 daily observations. For empirical evaluation multivariate GARCH models D-Vech, D-BEKK and Conditional Correlational Constant (CCC) were used in order to find the best model that explain the behavior of dynamic conditional volatility over time. It was found that there are asymmetries in the market and a negligible positive correlation, a weak signal transmission of volatility between the markets of China and Mexico. However, the Mexican market offers greater returns and low risk. Moreover, the CCC model is the one that explains best the behavior of the conditional variance over time, and is an accurate and parsimonious model when applied to the international financial assets under study.

Suggested Citation

  • Francisco Javier Reyes Zárate, 2015. "Estimación de modelos multivariados GARCH en los mercados accionarios de China y México," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 5(2), pages 187-210, julio-dic.
    • Handle: RePEc:sfr:efruam:v:5:y:2015:i:2:p:187-210
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    File URL: http://zaloamati.azc.uam.mx/bitstream/handle/11191/4183/EFR_5_2_3_Estimacion_modelos_multivariados_GARCH.pdf?sequence=3&isAllowed=y
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    Citations

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    Cited by:

    1. Julian Pareja Vasseur & Juan Giraldo Cerón & Santiago Zapata Valencia, 2017. "Market Risk, Non-parametric Methods: Hong-Kong Case," Economia Coyuntural,Revista de temas de perspectivas y coyuntura, Instituto de Investigaciones Economicas y Sociales 'Jose Ortiz Mercado' (IIES-JOM), Facultad de Ciencias Economicas, Administrativas y Financieras, Universidad Autonoma Gabriel Rene Moreno, vol. 2(4), pages 45-80.

    More about this item

    Keywords

    volatilidad; modelo econométrico; modelos GARCH multivariados; México; China; volatility; econometric model; multivariate GARCH models; Mexico; China.;
    All these keywords.

    JEL classification:

    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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