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¿Que tan buenos son los patrones del IGBC para predecir su comportamiento?: una aplicación de datos de alta frecuencia


  • Julio Cesar Alonso


  • Juan Carlos Garcia



Abstract: Using 18 different specifications of the GARCH-M model and high frequency datafor the Colombian exchange market index (IGBC), we evaluate the out-of-sample performanceof the models. The models considered take in account the leverage effect, the day-of-the-weekeffect, and the hour-of-the-day effect. We evaluate 1000 one-step-ahead rolling forecasts foreach of the 18 models. Using different descriptive statistics and the Granger and Newbold(1976) test and the Diebold and Mariano (1995) test, we found that the best model would bethe GARCH-M without the leverage effect, the day-of-the-week effect, and the hour-of-the-dayeffect.

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  • Julio Cesar Alonso & Juan Carlos Garcia, 2009. "¿Que tan buenos son los patrones del IGBC para predecir su comportamiento?: una aplicación de datos de alta frecuencia," BORRADORES DE ECONOMÍA Y FINANZAS 005243, UNIVERSIDAD ICESI.
  • Handle: RePEc:col:000130:005243

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    Intra-day; Colombia; Garch-M; Forecast; leverage effect; the day-of-theweekeffect; and the hour-of-the-day effect;

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • F3 - International Economics - - International Finance

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