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La Eficiencia En Forma Débil Y El Poder Predictivo De Los Modelos Arma-Garch

Author

Listed:
  • Adrián Hernández-del-Valle

    (Instituto Politécnico Nacional)

  • Federico Reina Sosa

    (Instituto Politécnico Nacional)

  • Héctor Allier Campuzano

    (Instituto Politécnico Nacional)

Abstract

Un concepto importante en la literatura financiera que trata acerca de la modelación y el pronóstico de series de tiempo de los precios de activos es el de eficiencia en forma débil. Aplicamos una prueba de eficiencia en forma débil a una muestra de series de tiempo de los precios de acciones que cotizan en la Bolsa Mexicana de Valores (BMV) entre los años de 1991 y 2000. Utilizamos un modelo ARMA-GARCH, con series de diferente frecuencia y extrapolamos a diferentes intervalos de tiempo, para probar el poder predictivo ex ante de los modelos. Reportamos resultados acerca de las series que generan el mejor pronóstico, así como su error promedio e intervalo de error.

Suggested Citation

  • Adrián Hernández-del-Valle & Federico Reina Sosa & Héctor Allier Campuzano, 2003. "La Eficiencia En Forma Débil Y El Poder Predictivo De Los Modelos Arma-Garch," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 2(2), pages 95-125, Junio 200.
    • Handle: RePEc:imx:journl:v:2:y:2003:i:2:p:95-125
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    File URL: http://www.remef.org.mx/index.php/primera/article/view/178
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    More about this item

    Keywords

    Mercados eficientes; Series de Tiempo;

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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