Un modelo TGARCH con una distribución t de Student asimétrica y las hipotesis de racionalidad de los inversionistas bursátiles en Latinoamérica

Lorenzo-Valdes, Arturo and Ruiz-Porras, Antonio (2014): Un modelo TGARCH con una distribución t de Student asimétrica y las hipotesis de racionalidad de los inversionistas bursátiles en Latinoamérica.

Abstract

We propose an ARCH model of the TGARCH type with an asymmetric Student's t distribution. It is built using the methodology of Fernandez and Steel (1998) and the traditional TGARCH model developed by Zakoian (1994). The model is used to describe series of stock market returns and to assess the validity of the rationality hypotheses in Latin America. The results suggest that: 1) The series can be described adequately with the proposed model; (2) the Samuelson´s rationality hypothesis is consistent with the evidence of the markets of Argentina, Brazil, Chile, Colombia and Mexico; 3) the traditional rationality hypothesis is consistent with the evidence of Peru; and (4) the volatility estimated with the proposed model are higher than those estimated with the traditional TGARCH model over the period 2008-2009.

• Item Type: MPRA Paper
• English Title: A TGARCH model with an asymmetric Student´s t distribution and the rationality hypotheses of stock investors in Latin America
• Language: Spanish
• Keywords: Density Distribution; Asymmetric t-Student; TGARCH; Stock Market Returns; Latin America
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes; F - International Economics > F3 - International Finance > F30 - General; G - Financial Economics > G1 - General Financial Markets > G10 - General

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