Abstract
We jointly parameterized the generalized autoregressive conditional het- eroskedasticity 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 diversied portfolio including such assets. This paper presents the empirical results of an asymmetric econometric trivari- ate 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 pe- riod 2002-2013.
Translated title of the contribution | Volatility analysis of the core Mexican stock market index, the country risk index, and the Mexican oil basket using an asymmetric trivariate GARCH model |
---|---|
Original language | Spanish |
Pages (from-to) | 3-22 |
Number of pages | 20 |
Journal | Revista de Metodos Cuantitativos para la Economia y la Empresa |
Volume | 17 |
Issue number | 1 |
State | Published - 2014 |