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Un Modelo De Pronóstico De Contagio

Author

Listed:
  • Claudia I. Martínez García

    (Instituto Politécnico Nacional)

  • Adrián Hernández-del-Valle

    (Instituto Politécnico Nacional)

  • Héctor Allier Campuzano

    (Instituto Politécnico Nacional)

Abstract

Construimos un modelo de vectores autorregresivos para pronosticar la volatilidad del Índice de Precios y Cotizaciones de la Bolsa Mexicana de Valores en función de otros portafolios de mercado, y probamos su poder predictivo ex-ante en el periodo enero 1997-diciembre 1998. Uno de los resultados más sorprendentes es que nuestro modelo hubiera permitido pronosticar los dos episodios de contagio que se presentaron en el intervalo de tiempo en cuestión: el efecto Dragón y el efecto Vodka.

Suggested Citation

  • Claudia I. Martínez García & Adrián Hernández-del-Valle & Héctor Allier Campuzano, 2004. "Un Modelo De Pronóstico De Contagio," 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. 3(3), pages 261-275, Septiembr.
    • Handle: RePEc:imx:journl:v:3:y:2004:i:3:p:261-275
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    More about this item

    Keywords

    Contagio; Vectores Autorregresivos; Pronóstico;
    All these keywords.

    JEL classification:

    • 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
    • F30 - International Economics - - International Finance - - - General
    • F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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