Modelación de los rendimientos bursátiles mexicanos mediante los modelos TGARCH y EGARCH: Un estudio econométrico para 30 acciones y el Índice de Precios y Cotizaciones

Modeling Mexican stock returns with TGARCH and EGARCH models: An econometric study for 30 stocks and the Stock Market Index

Arturo Lorenzo-Valdes and Antonio Ruiz-Porras

MPRA Paper from University Library of Munich, Germany

Abstract: We develop a comparative study using the TARCH and EGARCH non-linear econometric models. We use them to describe Mexican stock market returns. We model daily series of returns for 30 stocks and the Stock Market Index (IPC) for the period between December 7, 2005 and August 1, 2011. Most of the series show leverage effects. The results also suggest that the AR(1)-EGARCH(1,1) model describes properly the aggregated returns of the stock market (measured by the IPC). They also show that the AR(1)-TGARCH(1,1) and AR(1)-EGARCH(1,1) models fit 19 and 11 stock return series, respectively. Finally, the results show that the return mean (variance) has decreased (increased) since August 2007.

Keywords: TGARCH; EGARCH; Stock returns; Mexico; non linearity (search for similar items in EconPapers)
JEL-codes: C50 G10 (search for similar items in EconPapers)
Date: 2011-09-05
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Citations: View citations in EconPapers (3)

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