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Intra-Day-Patterns in the Colombian Exchange Market Index and VAR: Evaluation of Different Approaches

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  • Julio César Alonso

    ()

  • Manuel Serna Cortés

Abstract

This paper evaluates the performance of 17 different parametric and non-parametric specifications and high frequency data for Colombian exchange market index (IGBC). We model the variance of the 10-minute returns using GARCH-M and TGARCH models that take in account the leverage effect, the day-of-the-week effect, and the hour-of-the-day effect. We estimate those models under two assumptions of the behavior of the returns: Normal distribution and t distribution. This exercise is performed for two different ten-minute intraday samples: 2006-2007 and 2008-2009. For the first sample, we found that the best model is a GARCH-M (1,1) with the hour-of-the-day effect. For the 2008-2009 sample, we found that the model with the correct conditional VaR coverage would be the GARCH-M with the day-of-the-week effect, and the hour-of-the-day effect.

Suggested Citation

  • Julio César Alonso & Manuel Serna Cortés, 2010. "Intra-Day-Patterns in the Colombian Exchange Market Index and VAR: Evaluation of Different Approaches," BORRADORES DE ECONOMÍA Y FINANZAS 007098, UNIVERSIDAD ICESI.
  • Handle: RePEc:col:000130:007098
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    References listed on IDEAS

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    1. Oaxaca, Ronald, 1973. "Male-Female Wage Differentials in Urban Labor Markets," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 14(3), pages 693-709, October.
    2. Alan S. Blinder, 1973. "Wage Discrimination: Reduced Form and Structural Estimates," Journal of Human Resources, University of Wisconsin Press, vol. 8(4), pages 436-455.
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    More about this item

    Keywords

    Backtesting; Intra-day; Financial Market; Garch-M; leverage effect; the day-of-the-week effect; the hour-of-the-day effect;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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