Citas bibligráficas
Liza, A., Ramírez, O. (2021). Modelos garch con innovaciones con colas pesadas: aplicación empírica a la volatilidad de los mercados de acciones y de divisas en países con ingresos altos y latinoamericanos [Pontificia Universidad Católica del Perú]. http://hdl.handle.net/20.500.12404/20479
Liza, A., Ramírez, O. Modelos garch con innovaciones con colas pesadas: aplicación empírica a la volatilidad de los mercados de acciones y de divisas en países con ingresos altos y latinoamericanos []. PE: Pontificia Universidad Católica del Perú; 2021. http://hdl.handle.net/20.500.12404/20479
@misc{renati/535368,
title = "Modelos garch con innovaciones con colas pesadas: aplicación empírica a la volatilidad de los mercados de acciones y de divisas en países con ingresos altos y latinoamericanos",
author = "Ramírez Carhuachín, Oscar Eduardo",
publisher = "Pontificia Universidad Católica del Perú",
year = "2021"
}
This paper uses daily data from stock and Forex markets in order to estimate GARCH and GJR models comparing emerging countries with high-income countries. In both models, the Normal distribution is taken as the basis and some heavy-tailed distributions are considered: the Student t-distribution, the GED distribution, the NIG distribution and the NRIG distribution, all in their symmetric and skewed versions to capture the characteristics of the returns. The main results are as follows: (i) in all markets and countries, models with heavy-tailed distributions are selected: Student’s t (S) and generalized error (GED); (ii) it is important to include the leverage effect for stock markets, but this is not conclusive for the Forex markets; (iii) incorporating an asymmetric distribution in returns is necessary for all equity markets, although this is not necessary for some currency markets.
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