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Un análisis comparativo entre GARCH-M, EGARCH y PJ-RS-EV para modelar la volatilidad de Índice de precios y cotizaciones de la Bolsa Mexicana de Valores
[A Comparative Analysis among GARCH-M, EGARCH and PJ-RS-SV (Poisson Jumps - Regime Switching - Stochastic Volatility) Approach to Model the Mexican Stock Index]

Author

Listed:
  • Reyes-García, Nallely Jacqueline
  • Venegas-Martínez, Francisco
  • Cruz-Aké, Salvador

Abstract

Resumen El presente trabajo compara la capacidad de varios modelos de volatilidad dependiente del tiempo para explicar la dinámica estocástica del Índice de Precios y Cotizaciones (IPC) de la Bolsa Mexicana de Valores (BMV). En particular se analizan procesos los ARCH, M-GARCH, EGARCH y difusiones con saltos estocásticos y con cambio de régimen para la volatilidad (PJ-RS-SV por las siglas en inglés de Poisson Jumps - Regime Switching -Stochastic Volatility). En todos los casos, se realiza una parametrización econométrica que sirve como base para la simulación Monte Carlo de posibles trayectorias del IPC. Por último se muestran y se analizan las diferencias obtenidas por las distintas metodologías ante cambios en el precio inicial y la volatilidad inicial. Abstract This paper is aimed at comparing the capability of several models of time-dependent volatility to explain the stochastic dynamics of the Mexican Stock Index (IPC its acronym in Spanish) of the Mexican Stock Exchange (BMV its acronym in Spanish). In particular, the processes ARCH, M-GARCH, EGARCH, and diffusion with stochastic jumps and regime switching for volatility PJ-RS-SV (Poisson Jumps - Regime Switching – Stochastic Volatility) are analyzed. In all cases, an econometric parameterization is made that serves as a basis for the Monte Carlo simulation of possible IPC paths. Finally, the differences obtained by the distinct methodologies in the face of changes in the initial price and initial volatility are shown and analyzed.

Suggested Citation

  • Reyes-García, Nallely Jacqueline & Venegas-Martínez, Francisco & Cruz-Aké, Salvador, 2018. "Un análisis comparativo entre GARCH-M, EGARCH y PJ-RS-EV para modelar la volatilidad de Índice de precios y cotizaciones de la Bolsa Mexicana de Valores [A Comparative Analysis among GARCH-M, EGARC," MPRA Paper 84304, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:84304
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    References listed on IDEAS

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    More about this item

    Keywords

    Volatilidad estocástica; simulación Monte Carlo; GARCH-M; EGARCH y PJ-RS-SV / Stochastic volatility; Monte Carlo simulation; GARCH-M; EGARCH y PJ-RS-SV.;
    All these keywords.

    JEL classification:

    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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