Theoretical and Applied Economics
No. 3 / 2013 (580)
Forecasting the variance and return of Mexican financial series with symmetric GARCH models
Escuela Superior de Economia IPN, Mexico
Miguel FLORES-ORTEGA
Escuela Superior de Economia IPN, Mexico
Abstract. 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.
Contents
Sustainability of the public debt and the financial crisis
The lending channel and budget balance: empirical evidences from Central and Eastern European economies
Heterogeneous capital and consumption goods in a structurally generalized Uzawa’s model
Differences between the nominal values of the gross domestic product and the provisional and semi-final variant
Forecasting the variance and return of Mexican financial series with symmetric GARCH models
Meanings and spreading patterns of the “positive” concept in economic thought
Implications of the single supervisory mechanism on ECB's functions and on credit institutions' activity
Analysing movements in investor’s risk aversion using the Heston volatility model
The labour market in the post-crisis economy: the case of Spain
Liberalisation and regulation in the financial crisis – is behavioural economics a solution?