Análisis basado en waveletss del mercado accionario mejicano
Palavras-chave:
wavelets, análisis por multiresolución, varianza, Gaussianidad-agregativa, mercados accionariosResumo
Este documento analiza el comportamiento del mercado accionario
mexicano en diferentes escalas de tiempo utilizando el enfoque de wavelets, con el propósito de obtener información más a detalle de lo que la serie en su forma global no puede brindar. Lo anterior se logra descomponiendo la serie de los rendimientos del principal índice accionario de México (IPC) en diferentes niveles de resolución, aplicando la Transformada wavelet discreta de máximo traslape (TWDMT) y como filtro la función de Daubechies de mínima asimetría MA (8). Los resultados muestran evidencia del fenómeno asimétrico identificado como Gaussianidad-agregativa, en donde la distribución de los rendimientos no es la misma en diferentes escalas de tiempo. Así mismo, la varianza wavelet mostró ser mayor para escalas con menor duración de tiempo cuyas implicaciones, en el marco de Valor en Riesgo, serían pérdidas potenciales mayores en horizontes de inversión de corto tiempo.
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Resumo: 343 PDF (Español (España)): 478Referências
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