A Tgarch model with an asymmetric student´s t distribution and the rationality hypotheses of stock investors in Latin America

Authors

  • Arturo Lorenzo Valdés Universidad de las Américas, Puebla.
  • Antonio Ruiz Porras Universidad de Guadalajara, CUCEA

DOI:

https://doi.org/10.25097/rep.n19.2014.03

Keywords:

Density Distribution, Asymmetric t-Student, TGARCH, Stock Market Returns, Latin America.

Abstract

We propose an ARCH model of the TGARCH type with an asymmetric Student's t distribution. It is built using the methodology of Fernandez and Steel (1998) and the traditional TGARCH model developed by Zakoian (1994). The model is used to describe series of stock market returns and to assess the validity of the rationality hypotheses in Latin America. The results suggest that: 1) The series can be described adequately with the proposed model; (2) the Samuelson´s rationality hypothesis is consistent with the evidence of the markets of Argentina, Brazil, Chile, Colombia and Mexico; 3) the traditional rationality hypothesis is consistent with the evidence of Peru; and (4) the volatility estimated with the proposed model are higher than those estimated with the traditional TGARCH model over the period 2008-2009.

Downloads

Download data is not yet available.

Downloads

Published

2017-08-09

How to Cite

Lorenzo Valdés, A., & Ruiz Porras, A. (2017). A Tgarch model with an asymmetric student´s t distribution and the rationality hypotheses of stock investors in Latin America. Economy and Politics Journal, (19), 66–97. https://doi.org/10.25097/rep.n19.2014.03

Issue

No. 19 (2014): enero/junio

Section

Artículos

License

The Journal declines any responsibility for possible conflicts derived from the authorship of the works that are published in it.
The University of Cuenca in Ecuador conserves the patrimonial rights (copyright) of the published works and will favor the reuse of the same ones, these can be: copy, use, diffuse, transmit and expose publicly.
Unless otherwise indicated, all contents of the electronic edition are distributed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.