Forecasting the variance and return of Mexican financial series with symmetric GARCH models

Fátima Irina VILLALBA Padilla and Miguel Flores-Ortega
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Fátima Irina VILLALBA Padilla: Escuela Superior de Economia IPN, Mexico
Miguel Flores-Ortega: Escuela Superior de Economia IPN, Mexico

Theoretical and Applied Economics, 2013, vol. XX, issue 3(580), 61-82

Abstract: The present research shows the application of the generalized autoregresive conditional heteroskedasticity models (GARCH) in order to forecast the variance and return of the IPC, the EMBI, the weighted-average government funding rate, the fix exchange rate and the Mexican oil reference, as important tools for investment decisions. Forecasts in-sample and out-of-sample are performed. The covered period involves from 2005 to 2011.

Keywords: volatility; variance; return; financial variables; investment decisions. (search for similar items in EconPapers)
Date: 2013
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