Administración activa de portafolios con modelos markovianos de cambio de régimen- GARCH en los principales países de la región andina

Oscar V. De la Torre Torres, Dora Aguilasocho Montoya, Evaristo Galeana Figueroa



En el presente trabajo se estudia el empleo de modelos markovianos con cambio de régimen (Markov-Switching, MS) de dos regímenes, con varianza constante, ARCH o GARCH y función de verosimiltud gaussiana o t-Student. Esto para administrar activamente portafolios en los mercados accionarios del índice MSCI andino (Chile, Colombia y Perú). Al realizar 996 simulaciones semanales de enero del 2000 a enero del 2019, se ejecutó la siguiente estrategia de inversión para un portafolio denominado en dólares de los EEUU: 1) invertir en el activo libre de riesgo si la probabilidad de estar en el régimen de alta volatilidad en t+1 es mayor a 50% o 2) invertir en el índice accionario en caso contrario. Los resultados sugieren que emplear modelos MS-ARCH gaussianos es lo mejor para la administración activa de los mercados chileno y colombiano, y que ninguno de estos es preferible para la administración pasiva en Perú.

Palabras clave

Markov-Switching GARCH; cadenas markovianas; administración activa de portafolios; acciones de la región Andina; finanzas computacionales; administración de riesgos.

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