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Modelos EGARCH Aplicados a la prueba del CAPM y los Modelos multifactoriales párrafo Acciones colombianas (2002-2008)

Author

Listed:
  • Alberto Gómez Mejía

Abstract

La Aplicación de Modelos EGARCH a la prueba del CAPM párr Colombia permite concluir Que Este sí da Bajo conditions de Alta volatilidad Y Que Se Puede utilizar Como Herramienta para el Análisis Financiero y las Proyecciones de Rentabilidad de Activos Financieros y reales. Igualmente, los Modelos multifactoriales con fundamento en EGARCH explican satisfactoriamente el Comportamiento de las rentabilidades de las Principales Acciones Veintidós negociadas en la Bolsa de Valores de Colombia (BVC) Durante enero del 2002 y mayo del 2008, con respecto a Las Variables Macroeconómicas Principales. El Comportamiento del Índice General de la Bolsa de Valores de Colombia (IGBC) está relacionado inversamente con el Comportamiento de la TASA TES verdadero y la ITCR, MIENTRAS Que Depende Positivamente de las buenas noticias en el Comportamiento de la Producción representada, En Este Caso, Por El Índice de la Muestra Manufacturera del DANE.

Suggested Citation

  • Alberto Gómez Mejía, 2008. "Modelos EGARCH Aplicados a la prueba del CAPM y los Modelos multifactoriales párrafo Acciones colombianas (2002-2008)," Revista Equidad y Desarrollo, Universidad de la Salle, November.
    • Handle: RePEc:col:000452:010196
    DOI: 10.19052/ed.227
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    More about this item

    Keywords

    EGARCH; Garch; CAPM; TES; ITCR; IGBC; BVC; varianza condicional;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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