CURVAS DE APALANCAMIENTO Y ELECCIÓN DE CARTERAS EN LA BMV

Abstract

In this work we study the leverage effects also known as asymmetry volatility. Which is present in capital markets and it is about the negative correlation between past returns and future stock volatility. Volatility asymmetries are estimated based upon the asymmetric GARCH model fuom Glosten, Jagannathan y Runkle (1993) and the exponential GARCH (EGARCH) from Nelson (1991). Data came from diary operation prices that conform the Mexican Stock Market, because the level of tradability we select a sample of 62 firms, from 196. Finally, we suggest to use put financial options as risk administrative strategies.