%0 Journal Article 
%T Patrones del IGBC y Valor en Riesgo: Evaluación del desempeño de diferentes metodologías para datos intra-día
%J Borradores de Economía y Finanzas;No. 20 - Septiembre 2009
%D 2009
%@ 1900-1568
%U http://hdl.handle.net/10906/65262
%X 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.
%K Economía
%K Departamento de economía
%K VAR (Valor de riesgo)
%K Mercado financiero
%K Pronósticos
%K Negocios y management
%K Economics
%K Business
%~ GOEDOC, SUB GOETTINGEN