Autor:
Antonio Ruiz-Porras
Paginas: 33
Año: 2014
Volumen: Número: Lugar: ISSN:
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.
URL:
http://www.repositorioredgobmet.org.mx/wp-content/uploads/2017/08/2014-Ruiz-Porras-Modelo-TGARCH.pdf