Impacto del estallido de COVID19 en la volatilidad de los mercados de capital internacionales
DOI:
https://doi.org/10.46661/revmetodoscuanteconempresa.6478Palabras clave:
Contagio en volatilidad, Modelo de cambio de régimen markoviano, Modelos GARCH, Mercados accionarios, Covid 19Resumen
El objetivo de este trabajo es analizar el contagio de volatilidad entre los mercados de valores estadounidense y chino y los mercados de capitales internacionales. Para lograr este propósito, la volatilidad se modela utilizando varios enfoques simétricos y asimétricos: GARCH, TARCH, EGARCH, APARCH, IGARCH, FIGARCH, ACGARCH y GAS bajo tres supuestos de distribución: Gaussiana, GED y t-Student. Se emplean 21.000 observaciones intradía de trece índices bursátiles para el periodo comprendido entre el 1 de enero de 2020 y el 25 de junio de 2020. Una vez modelizada la volatilidad, se comprueba la incidencia de los mercados chino y americano sobre el resto de mercados bursátiles empleando modelos MS-VAR.
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