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La Dinámica De La Volatilidad Del Ipc Y Sus Componentes

Author

Listed:
  • Jorge Ludlow Wiechers

    (Universidad Autónoma Metropolitana-Atzcapotzalco)

  • Beatríz Mota Aragón

    (Universidad Autónoma Metropolitana-Iztapalapa)

Abstract

En este trabajo modelamos la volatilidad de los rendimientos del IPC y sus componentes en los últimos años (agosto 1998, julio 2005) , hay interés en los años 2003-2004 pues reportaron importantes rendimientos para la BMV. Para explicar la relación riesgo rendimiento partimos de la hipótesis de mercados eficientes (HME) y de los modelos de equilibrio.

Suggested Citation

  • Jorge Ludlow Wiechers & Beatríz Mota Aragón, 2005. "La Dinámica De La Volatilidad Del Ipc Y Sus Componentes," 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. 4(2), pages 149-173, Junio 200.
    • Handle: RePEc:imx:journl:v:4:y:2005:i:2:p:149-173
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    File URL: http://www.remef.org.mx/index.php/primera/article/view/199
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    More about this item

    Keywords

    Índice de mercado; Riesgo-Rendimiento; Varianza condicional; Volatilidad multivariada; Modelos GARCH;
    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
    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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