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Un modelo TGARCH con una distribución t de Student asimétrica y las hipotesis de racionalidad de los inversionistas bursátiles en Latinoamérica
[A TGARCH model with an asymmetric Student´s t distribution and the rationality hypotheses of stock investors in Latin America]

Author

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  • Lorenzo-Valdes, Arturo
  • Ruiz-Porras, Antonio

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.

Suggested Citation

  • Lorenzo-Valdes, Arturo & Ruiz-Porras, Antonio, 2014. "Un modelo TGARCH con una distribución t de Student asimétrica y las hipotesis de racionalidad de los inversionistas bursátiles en Latinoamérica [A TGARCH model with an asymmetric Student´s t distri," MPRA Paper 53019, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:53019
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    References listed on IDEAS

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    More about this item

    Keywords

    Density Distribution; Asymmetric t-Student; TGARCH; Stock Market Returns; Latin America;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F30 - International Economics - - International Finance - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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