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Modelación de los rendimientos bursátiles mexicanos mediante los modelos TGARCH y EGARCH: Un estudio econométrico para 30 acciones y el Índice de Precios y Cotizaciones
[Modeling Mexican stock returns with TGARCH and EGARCH models: An econometric study for 30 stocks and the Stock Market Index]

  • Lorenzo-Valdes, Arturo
  • Ruiz-Porras, Antonio

We develop a comparative study using the TARCH and EGARCH non-linear econometric models. We use them to describe Mexican stock market returns. We model daily series of returns for 30 stocks and the Stock Market Index (IPC) for the period between December 7, 2005 and August 1, 2011. Most of the series show leverage effects. The results also suggest that the AR(1)-EGARCH(1,1) model describes properly the aggregated returns of the stock market (measured by the IPC). They also show that the AR(1)-TGARCH(1,1) and AR(1)-EGARCH(1,1) models fit 19 and 11 stock return series, respectively. Finally, the results show that the return mean (variance) has decreased (increased) since August 2007.

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File URL: http://mpra.ub.uni-muenchen.de/36872/1/MPRA_paper_36872.pdf
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 36872.

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Date of creation: 05 Sep 2011
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Handle: RePEc:pra:mprapa:36872
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  1. Bollerslev, Tim & Russell, Jeffrey & Watson, Mark (ed.), 2010. "Volatility and Time Series Econometrics: Essays in Honor of Robert Engle," OUP Catalogue, Oxford University Press, number 9780199549498, March.
  2. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
  3. Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109.
  4. Duran-Vazquez, Rocio & Lorenzo-Valdes, Arturo & Ruiz-Porras, Antonio, 2011. "Valuación de acciones mexicanas mediante los modelos de Ohlson y Ohlson-Beta para firmas con ciclos de corto y largo plazos: Un análisis de cointegración
    [Valuation of Mexican stocks with the Olhso
    ," MPRA Paper 33054, University Library of Munich, Germany.
  5. Fritz Breuss, 2011. "Global financial crisis as a phenomenon of stock market overshooting," Empirica, Springer, vol. 38(1), pages 131-152, February.
  6. Robert Engle, 2004. "Risk and Volatility: Econometric Models and Financial Practice," American Economic Review, American Economic Association, vol. 94(3), pages 405-420, June.
  7. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
  8. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
  9. Ruiz-Porras, Antonio, 2010. "Globalización, ciclos económicos y crisis global, 2007-2010
    [Globalization, business cycles and global crisis, 2007-2010]
    ," MPRA Paper 23183, University Library of Munich, Germany.
  10. Bárbara Trejo & José Antonio Núñez & Arturo Lorenzo, 2006. "Distribución de los rendimientos del mercado mexicano accionario," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 21(1), pages 85-118.
  11. French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September.
  12. Ser-Huang Poon & Clive W.J. Granger, 2003. "Forecasting Volatility in Financial Markets: A Review," Journal of Economic Literature, American Economic Association, vol. 41(2), pages 478-539, June.
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