LA DINÁMICA DE LA VOLATILIDAD DEL IPC Y SUS COMPONENTES

Abstract

In this work we model the volatility of the yield and its components of the financial index, called IPC, along August 1998 to July 2005, special focus is set in the period 2003-2004 because the Mexican market had returns above normal. We start with the efficient market hypothesis and equilibrium models. We use the BDS test to see whether the series are non-linear, thus a non linear specification is required to model a multivariate dynamics, the model used is the MV-GARCH(1,1). Is shown that the sectors become ordered as: X4ining, Communications, Commerce, Services, IPC, Various, Building, Transformation, being the first the more risky and the last variable the less one.