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Risk-management criteria in the Latin-American stock markets: an assessment with a TGARCH model with a skewed normal distribution and autoregressive conditional asymmetry

Risk-management criteria in the Latin-American stock markets: an assessment with a TGARCH model... We build a TGARCH model with a skewed normal distribution and autoregressive conditional asymmetry. We use the model for modelling series of stock-market returns and for investigating some risk-management criteria prevailing in the Latin-American stock markets. The main results support the usefulness of the model. Particularly, they suggest that hedging and diversification practices among the markets may be useful for risk-management purposes. Moreover, they suggest that the most risk-averse investors are in Argentina and the least risk-averse ones in Colombia. Furthermore, they imply that the behaviour of investors may be more complex than the one postulated by the mean­variance paradigm. Keywords: conditional asymmetry; skewed normal; stock-market returns; risk management; Latin-America. Reference to this paper should be made as follows: Lorenzo-Valdés, A. and Ruíz-Porras, A. (2015) `Risk-management criteria in the Latin-American stock markets: an assessment with a TGARCH model with a skewed normal distribution and autoregressive conditional asymmetry', Int. J. Computational Economics and Econometrics, Vol. 5, No. 4, pp.430­450. Biographical notes: Arturo Lorenzo-Valdés is a Professor at the University of the Americas-Puebla. He is a Member of the Mexican System of Researchers. His research areas include financial econometrics and the analysis of nonlinear time series. Antonio Ruíz-Porras is a http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png International Journal of Computational Economics and Econometrics Inderscience Publishers

Risk-management criteria in the Latin-American stock markets: an assessment with a TGARCH model with a skewed normal distribution and autoregressive conditional asymmetry

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Publisher
Inderscience Publishers
Copyright
Copyright © 2015 Inderscience Enterprises Ltd.
ISSN
1757-1170
eISSN
1757-1189
DOI
10.1504/IJCEE.2015.072298
Publisher site
See Article on Publisher Site

Abstract

We build a TGARCH model with a skewed normal distribution and autoregressive conditional asymmetry. We use the model for modelling series of stock-market returns and for investigating some risk-management criteria prevailing in the Latin-American stock markets. The main results support the usefulness of the model. Particularly, they suggest that hedging and diversification practices among the markets may be useful for risk-management purposes. Moreover, they suggest that the most risk-averse investors are in Argentina and the least risk-averse ones in Colombia. Furthermore, they imply that the behaviour of investors may be more complex than the one postulated by the mean­variance paradigm. Keywords: conditional asymmetry; skewed normal; stock-market returns; risk management; Latin-America. Reference to this paper should be made as follows: Lorenzo-Valdés, A. and Ruíz-Porras, A. (2015) `Risk-management criteria in the Latin-American stock markets: an assessment with a TGARCH model with a skewed normal distribution and autoregressive conditional asymmetry', Int. J. Computational Economics and Econometrics, Vol. 5, No. 4, pp.430­450. Biographical notes: Arturo Lorenzo-Valdés is a Professor at the University of the Americas-Puebla. He is a Member of the Mexican System of Researchers. His research areas include financial econometrics and the analysis of nonlinear time series. Antonio Ruíz-Porras is a

Journal

International Journal of Computational Economics and Econometrics – Inderscience Publishers

Published: Jan 1, 2015

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