Análisis de la volatilidad del índice principal del mercado bursátil mexicano, del índice de riesgo país y de la mezcla mexicana de exportación mediante un modelo GARCH trivariado asimétrico // Volatility Analysis of the Core Mexican Stock Market Index, the Country Risk Index, and the Mexican Oil Basket Using an Asymmetric Trivariate GARCH Model

Autores/as

  • Fátima Irina Villalba Padilla Escuela Superior de Economía Instituto Politécnico Nacional (México)
  • Miguel Flores-Ortega Escuela Superior de Economía Instituto Politécnico Nacional (México)

Palabras clave:

Volatilidad, rendimiento, asimetría, GARCH trivariado, pronóstico, volatility, return, asymmetry, trivariate GARCH, forecasting

Resumen

Se parametriza de forma conjunta la heteroscedasticidad condicional autorregresiva generalizada que corresponde al comportamiento de la varianza de tres variables: (a) el índice de precios y cotizaciones (IPC), indicador principal del mercado bursátil mexicano, (b) el emerging markets bond index para México (EMBI), como indicador de riesgo país y (c) el precio de la canasta mexicana de tres crudos de exportación (MEZCLA). Las variables se emplean como estimadores de la tendencia de los precios de las acciones, los bonos y los energéticos, respectivamente, con el objetivo final de conformar un portafolio de inversión diversificado que incluya dichos activos. Se presentan los resultados empíricos de un modelo econométrico GARCH trivariado asimétrico. El modelo permite incorporar la covarianza entre las variables para explicar su interrelación y en la estimación se considera el efecto de los choques generados por las innovaciones positivas y negativas. El estudio contempla el periodo de 2002 a 2013.

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We jointly parameterized the generalized autoregressive conditional heteroskedasticity that corresponds to the behavior of the variance of three variables: (a) the core Mexican stock market index (IPC), (b) the Emerging Markets Bond Index for Mexico (EMBI) as country risk pointer and, (c) the Mexican three oil basket exports mix (MEZCLA). The variables are used as trend indicators of stocks, bonds and energetics respectively with the ultimate goal of forming a diversified portfolio including such assets. This paper presents the empirical results of an asymmetric econometric trivariate GARCH model. The model incorporates the covariance between the variables in order to explain their relationship and we considered the shocks generated by positive and negative innovations. The study involves the period 2002- 2013. 

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Publicado

2016-11-04

Cómo citar

Villalba Padilla, F. I., & Flores-Ortega, M. (2016). Análisis de la volatilidad del índice principal del mercado bursátil mexicano, del índice de riesgo país y de la mezcla mexicana de exportación mediante un modelo GARCH trivariado asimétrico // Volatility Analysis of the Core Mexican Stock Market Index, the Country Risk Index, and the Mexican Oil Basket Using an Asymmetric Trivariate GARCH Model. Revista De Métodos Cuantitativos Para La Economía Y La Empresa, 17, Páginas 3 a 22. Recuperado a partir de https://www.upo.es/revistas/index.php/RevMetCuant/article/view/2191

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