Un modelo TGARCH con una distribución t de Student asimétrica y las hipotesis de racionalidad de los inversionistas bursátiles en Latinoamérica

A TGARCH model with an asymmetric Student´s t distribution and the rationality hypotheses of stock investors in Latin America

Arturo Lorenzo-Valdes and Antonio Ruiz-Porras

MPRA Paper from University Library of Munich, Germany

Abstract: We propose an ARCH model of the TGARCH type with an asymmetric Student's t distribution. It is built using the methodology of Fernandez and Steel (1998) and the traditional TGARCH model developed by Zakoian (1994). The model is used to describe series of stock market returns and to assess the validity of the rationality hypotheses in Latin America. The results suggest that: 1) The series can be described adequately with the proposed model; (2) the Samuelson´s rationality hypothesis is consistent with the evidence of the markets of Argentina, Brazil, Chile, Colombia and Mexico; 3) the traditional rationality hypothesis is consistent with the evidence of Peru; and (4) the volatility estimated with the proposed model are higher than those estimated with the traditional TGARCH model over the period 2008-2009.

Keywords: Density Distribution; Asymmetric t-Student; TGARCH; Stock Market Returns; Latin America (search for similar items in EconPapers)
JEL-codes: C22 F30 G10 (search for similar items in EconPapers)
Date: 2014-01-17
New Economics Papers: this item is included in nep-ecm and nep-lam
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/53019/1/MPRA_paper_53019.pdf original version (application/pdf)

Related works:
Journal Article: Un modelo Tgarch con una distribución t de student asimétrica y las hipótesis de racionalidad de los inversionistas bursátiles en Latinoamérica (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:53019

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter (winter@lmu.de).