Un modelo GARCH con asimetria condicional autorregresiva para modelar series de tiempo: Una aplicacion para los rendimientos del Indice de Precios y Cotizaciones de la BMV
[A GARCH model with autorregresive conditional asymmetry to model time-series: An application to the returns of the Mexican stock market index]
We develop a GARCH model with autoregressive conditional asymmetry to describe time-series. This means that, in addition to the conditional mean and variance, we assume that the skewness describes the behavior of the time-series. Analytically, we use the methodology proposed by Fernández and Steel (1998) to define the behavior of the innovations of the model. We use the approach developed by Brooks, et. al., (2005), to build it. Moreover, we show its usefulness by modeling the daily returns of the Mexican Stock Market Index (IPC) during the period between January 3rd, 2008 and September 29th, 2009.
|Date of creation:||17 Apr 2013|
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- Lorenzo-Valdes, Arturo & Ruiz-Porras, Antonio, 2011.
"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
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- Duran-Vazquez, Rocio & Lorenzo-Valdes, Arturo & Ruiz-Porras, Antonio, 2011. "Valuation of Latin-American stock prices with alternative versions of the Ohlson model: An investigation of cointegration relationships with time-series and panel-data," MPRA Paper 32043, University Library of Munich, Germany.
- Duran-Vazquez, Rocio & Lorenzo-Valdes, Arturo & Ruiz-Porras, Antonio, 2011. "Valuation of Latin-American stock prices with alternative versions of the Ohlson model: An investigation of cointegration relationships with time-series and panel-data," MPRA Paper 31354, University Library of Munich, Germany.
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