Fitting the classical and bayesian garch models with student—t innovations to the COLCAP index

Authors

  • Oscar Andrés Espinosa Acuña Departamento de Estadística, Universidad Nacional de Colombia (Sede Bogotá)
  • Paola Andrea Vaca González Universidad Nacional de Colombia

Keywords:

Conditional Heteroskedasticity Models, Metropolis—Hastings Algorithm, COLCAP Index

Abstract

In this article, it is fitted two Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models to the Colcap financial index. One of them is analyzed using a Classical (or Frecuentist) procedure, whose parameters were estimated by maximum likelihood, and the other one is estimated via a Bayesian approach using the Metropolis—Hastings algorithm. Both models were estimated with Student—t innovation. By means of different information criteria, the estimated models by the bayesian and classic approaches are evaluated.

Author Biography

Oscar Andrés Espinosa Acuña, Departamento de Estadística, Universidad Nacional de Colombia (Sede Bogotá)

Economista, estudiante de la Maestría en Ciencias Estadísticas, becado toda la carrera por pertenecer a los mejores promedios de Economía en la Universidad Nacional de Colombia. Le fue conferida la “Orden al Mérito Jesús Antonio Bejarano”, máxima distinción otorgada por la Banca Central en Colombia y Fenadeco a Jóvenes Investigadores estudiantes de pregrado. También fue premiado en el Foro Nacional de Estudiantes de Economía, Finanzas y Comercio Internacional realizado por la Universidad del Rosario, así como en el I y II Foro Internacional de Jóvenes por la Integración realizado por la Asociación de Universidades de América Latina y el Caribe para la Integración (AUALCPI).

En 2013 fue elegido como uno de los mejores 5 universitarios del país, mención de honor otorgada por el Diario Portafolio (Tiempo Casa Editorial – El Planeta). Cuenta con publicaciones internacionales. Ha participado como conferencista en varios Congresos Nacionales e Internacionales, en centros académicos como la UNAM, Universidad de Córdoba, ONU-CEPAL (ILPES), entre otros.

Downloads

Published

2017-04-17

Issue

No. 19: JAN-JUN 2017

Section

Science article

License

I, ____________________________________________, author of the work and/ or article, adult, residing in the city of _________________, bearing the Identity Card/Passport n.° ______________________, issued in _______________________, in command of his/her/their physical and mental faculties, party hereinafter referred to as AUTHOR, signs the following authorization so the reproduction, publication, communication and distribution of the work can be done, under the following terms:

 

1. That, regardless of existing legal regulations due to the relationship of the parties to this contract, and any other existing legal presumption, the parties agree that the AUTHOR authorizes the Universidad del Norte, with the purpose of reproduce, publish, communicate and distribute the material called in the Revista de Economía del Caribe.

 

2. That such authorization apply to the copyright of the work, by any means, known or to be known, the public communication of the work, and the distribution of the work, directly or by third parties, purely educational purposes.

 

3. The AUTHOR undertakes to inform and declare the existence of this authorization and to preserve the right of the journal Revista de Economía del Caribe to the first publication of the work.

 

4. The AUTHOR states that the article is original and his/her/their exclusive creation, there being no impediment of any kind for the authorization he/she/they is/are giving, responding thereto by any action: claim, plagiarism or any other type of complaint that might arise about.

 

5. That such authorization is granted for free.

 

6. The moral rights of the author on the article correspond exclusively to the AUTHOR, in virtue of which, the Universidad del Norte agrees to expressly and rigorously recognize and respect them.