Open AccessMexican Stock Market Index Volatility
Author(s) -
Sergio Hernández-Mejía,
Elena Moreno-García,
Arturo Garcı́a-Santillán,
Celia Cristóbal Hernández
Publication year - 2014
Publication title -
journal of finance and bank management
Language(s) - English
Resource type - Journals
eISSN - 2333-6072
pISSN - 2333-6064
DOI - 10.15640/jfbm.v2n3-4a1
Subject(s) - volatility (finance) , autoregressive conditional heteroskedasticity , stock market index , stock market , econometrics , economics , financial economics , index (typography) , geography , computer science , context (archaeology) , archaeology , world wide web
In order to determine which model explains with greater precision the historical performance of the Mexican Stock Market Index (IPC) the ARCH family models were applied. We analyze market volatility using daily returns of the index during the period 2000-2008, trying to avoid the incidence of the financial crises over stock markets on successive years. To analyze market volatility, GARCH EGARCH and TARCH models were compared according to traditional evaluation criteria. Finally we conclude that the EGARCH model (1.1) has the best predictive power.
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