Servicios Personalizados
Revista
Articulo
Español (pdf)
Artículo en XML
Referencias del artículo
Traducción automática
Enviar artículo por emailIndicadores
Citado por SciELO 
Accesos
Links relacionados
Similares en
SciELO
Compartir
Permalink
EconoQuantum
versión On-line ISSN 2007-9869versión impresa ISSN 1870-6622
Resumen
BUCIO-PACHECO, C.; SOSA-CASTRO, M. y REYES-ZARATE, F.. Dynamic volatility of bank stock returns in Mexico: DCC-GARCH vs Copula-GARCH approaches. EconoQuantum [online]. 2023, vol.20, n.2, pp.69-93. Epub 17-Mayo-2024. ISSN 2007-9869. https://doi.org/10.18381/eq.v20i2.7289.
Objective:
To analyze the dynamics of volatility among the main banks in Mexico.
Methodology:
Two complementary methodologies are used: i) DCC-GARCH and ii) Rolling window Copula-GARCH. Weekly closing stock prices of stocks among four of the main banks are used: BBVA, Citi-Banamex, Banorte and Inbursa, from January 27, 2009 to October 29, 2021.
Results:
The results confirm a time-varying correlation.
Limitations:
The main limitation is that we have not been able to include more banks due to the evolution of their prices.
Originality:
The originality lies in the contrast of the results, but these are more restrictive as the distribution optimally captures the behavior of the data.
Conclusions:
We conclude that different volatility patterns encourage investment decisions that consider potential losses and promote porfolio diversification.
Palabras llave : Dynamic Volatility; Bank Stock Returns; Mexican Stock Exchange; DCC-GARCH; Copula-GARCH; G11; G21; G32.
