Volatility Analysis of the Core Mexican Stock Market Index, the Country Risk Index, and the Mexican Oil Basket Using an Asymmetric Trivariate GARCH Model

Authors

  • Fátima Irina Villalba Padilla Escuela Superior de Economía Instituto Politécnico Nacional (México)
  • Miguel Flores-Ortega Escuela Superior de Economía Instituto Politécnico Nacional (México)

DOI:

https://doi.org/10.46661/revmetodoscuanteconempresa.2191

Keywords:

Volatilidad, rendimiento, asimetría, GARCH trivariado, pronóstico, volatility, return, asymmetry, trivariate GARCH, forecasting

Abstract

We jointly parameterized the generalized autoregressive conditional heteroskedasticity 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 diversified portfolio including such assets. This paper presents the empirical results of an asymmetric econometric trivariate 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 period 2002- 2013. 

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Published

2016-11-04

How to Cite

Villalba Padilla, F. I., & Flores-Ortega, M. (2016). Volatility Analysis of the Core Mexican Stock Market Index, the Country Risk Index, and the Mexican Oil Basket Using an Asymmetric Trivariate GARCH Model. Journal of Quantitative Methods for Economics and Business Administration, 17, Páginas 3 a 22. https://doi.org/10.46661/revmetodoscuanteconempresa.2191

Issue

Vol. 17 (2014)

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