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EconoQuantum
versão On-line ISSN 2007-9869versão impressa ISSN 1870-6622
Resumo
BUCIO-PACHECO, C.; SOSA-CASTRO, M. e 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-Maio-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.
Palavras-chave : Dynamic Volatility; Bank Stock Returns; Mexican Stock Exchange; DCC-GARCH; Copula-GARCH; G11; G21; G32.
