TY  - JOUR 
TI  - Patrones del IGBC y Valor en Riesgo: Evaluación del desempeño de diferentes metodologías para datos intra-día
JO  - Borradores de Economía y Finanzas;No. 20 - Septiembre 2009
PB  - Universidad Icesi
PY  - 2009
issn 1900-1568
AB  - This paper evaluate the performance of 17 different parametric and non-parametric specifications and high frequency data for Colombian exchange market index (IGBC).  We model the variance of the return using GARCH-M and TGARCH models that take in account the leverage effect, the day-of-the-week effect, and the hour-of-the-day effect.  We estimate those models under two assumptions of the behavior of the returns: Normal distribution and t distribution.  These exercise is performed for two different  ten-minute intraday samples: 2006-2007 and 2008-2009.  For the first sample, we found that the best model is a GARCCH-M (1,1) with the hour-of-the-day effect.  For the 2008-2009 sample, we found that the model with the correct conditional VaR coverage would be the GARCH-M with the day-of-the-week effect, and the hour-of-the-day effect.
KW  - Economía
KW  - Departamento de economía
KW  - VAR (Valor de riesgo)
KW  - Mercado financiero
KW  - Pronósticos
KW  - Negocios y management
KW  - Economics
KW  - Business
UR  - http://hdl.handle.net/10906/65262
ER  -