Intra-Day-Patterns in the Colombian Exchange Market Index and VAR: Evaluation of Different Approaches

Julio Alonso and Manuel Serna Cortés

No 7098, Borradores de Economía y Finanzas from Universidad Icesi

Abstract: This paper evaluates the performance of 17 different parametric and non-parametric specifications and high frequency data for Colombian exchange market index (IGBC). We model the variance of the 10-minute returns using GARCH-M and TGARCH models that take in account the leverage effect, the day-of-the-week effect, and the hour-of-the-day effect. We estimate those models under two assumptions of the behavior of the returns: Normal distribution and t distribution. This exercise is performed for two different ten-minute intraday samples: 2006-2007 and 2008-2009. For the first sample, we found that the best model is a GARCH-M (1,1) with the hour-of-the-day effect. For the 2008-2009 sample, we found that the model with the correct conditional VaR coverage would be the GARCH-M with the day-of-the-week effect, and the hour-of-the-day effect.

Keywords: Backtesting; Intra-day; Financial Market; Garch-M; leverage effect; the day-of-the-week effect; the hour-of-the-day effect (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 26
Date: 2010-06-12
New Economics Papers: this item is included in nep-ifn and nep-mst
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Persistent link: https://EconPapers.repec.org/RePEc:col:000130:007098

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