¿Qué tan buenos son los patrones del IGBC para predecir su comportamiento?: una aplicación con datos de alta frecuencia. Financial market and its patterns: a forecast evaluation with high frequency data
Using 18 different specifications of the GARCH-M model and high frequency data for the Colombian exchange market index (IGBC), we evaluate the out-of-sample performance of the models. The models considered take in account the leverage effect, the day-of-the-week effect, and the hour-of-the-day effec...
- Autores:
-
Alonso Cifuentes, Julio César
García, Juan Carlos
- Tipo de recurso:
- Article of investigation
- Fecha de publicación:
- 2008
- Institución:
- Universidad ICESI
- Repositorio:
- Repositorio ICESI
- Idioma:
- spa
- OAI Identifier:
- oai:repository.icesi.edu.co:10906/65256
- Acceso en línea:
- http://hdl.handle.net/10906/65256
http://biblioteca2.icesi.edu.co/cgi-olib?session=-1&infile=details.glu&loid=200775&rs=5514067&hitno=-1
- Palabra clave:
- Economía
Negocios y management
Colombia
Forecast
Pronósticos
Mercado financiero
Activos financieros
Tasa de cambio
Mercado colombiano
Economics
Business
- Rights
- openAccess
- License
- https://creativecommons.org/licenses/by-nc-nd/4.0/
| Summary: | Using 18 different specifications of the GARCH-M model and high frequency data for the Colombian exchange market index (IGBC), we evaluate the out-of-sample performance of the models. The models considered take in account the leverage effect, the day-of-the-week effect, and the hour-of-the-day effect. We evaluate 1000 one-step-ahead rolling forecasts for each of the 18 models. Using different descriptive statistics and the Granger and Newbold (1976) test and the Diebold and Mariano (1995) test, we found that the best model would be the GARCH-M without the leverage effect, the day-of-the-week effect, and the hour-of-the-day effect. |
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