Forecasting the variance and return of Mexican financial series with symmetric GARCH models

The present research shows the application of the generalized autoregresive conditional heteroskedasticity models (GARCH) in order to forecast the variance and return of the IPC, the EMBI, the weighted-average government funding rate, the fix exchange rate and the Mexican oil reference, as important tools for investment decisions. Forecasts in-sample and out-of-sample are performed. The covered period involves from 2005 to 2011.

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Year of publication:	2013
Authors:	PADILLA, Fátima Irina VILLALBA ; FLORES-ORTEGA, Miguel
Published in:	Theoretical and Applied Economics. - Asociaţia Generalā a Economiştilor din România - AGER. - Vol. XVIII(2013).2013, 3(580), p. 61-82
Publisher:	Asociaţia Generalā a Economiştilor din România - AGER
Subject:	volatility \| variance \| return \| financial variables \| investment decisions

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Extent:	application/pdf text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011005041