Mexican Stock Market Index Volatility
Sergio Hernández-Mejía, Elena Moreno-García, Arturo García-Santillán, Celia Cristóbal Hernández

In order to determine which model explains with greater precision the historical performance of the Mexican Stock Market Index (IPC) the ARCH family models were applied. We analyze market volatility using daily returns of the index during the period 2000-2008, trying to avoid the incidence of the financial crises over stock markets on successive years. To analyze market volatility, GARCH EGARCH and TARCH models were compared according to traditional evaluation criteria. Finally we conclude that the EGARCH model (1.1) has the best predictive power.

Full Text: PDF     DOI: 10.15640/jfbm.v2n3-4a1