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Modelación de la correlación condicional para el mercado bursátil colombiano: una aplicación de DCC – MGARCH
[Modeling of the conditional correlation for the Colombian stock market: a DCC application - MGARCH]

Author

Listed:
  • Sandoval Paucar, Giovanny

Abstract

El artículo investiga la incertidumbre y la interdependencia entre el mercado accionario colombiano y los principales mercados internacionales. Se estima un modelo Correlación Condicional Dinámica (DCC) para estudiar la interdependencia entre los mercados accionarios seleccionados y un modelo GARCH para analizar la volatilidad condicional. Para ello, se utiliza una muestra de datos diarios, que abarca el período comprendido entre el Enero de 2003 y Agosto de 2018. Los resultados muestran que el periodo de crisis subprime genera un efecto positivo significativo en la volatilidad condicional. Además, existe un co-movimiento significativo en el tiempo entre el mercado bursátil colombiano y los mercados nacionales e internacionales. En cuanto a la persistencia, la covariabilidad con los mercados nacionales es mayor, en relación a los mercados internacionales

Suggested Citation

  • Sandoval Paucar, Giovanny, 2019. "Modelación de la correlación condicional para el mercado bursátil colombiano: una aplicación de DCC – MGARCH [Modeling of the conditional correlation for the Colombian stock market: a DCC application - MGARCH]," MPRA Paper 92534, University Library of Munich, Germany, revised 04 Mar 2019.
    • Handle: RePEc:pra:mprapa:92534
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    References listed on IDEAS

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    Keywords

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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F30 - International Economics - - International Finance - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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