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Repositorio de la Red Internacional de Investigadores en Competitividad

COMPETITIVIDAD GLOBAL

Vol. 13 (2019): Los Retos de la Competitividad ante la Industria 4.0 978-607-96203-0-8

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

Submitted
March 23, 2020
Published
2020-03-30

Abstract

Resumen


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.

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