HOW USEFUL ARE THE IGBC TRENDS FOR FORECASTING FUTURE PERFORMANCE: AN APPLICATION USING HIGH FREQUENCY DATA (Article published in Spanish)
DOI:
https://doi.org/10.1016/S0123-5923(09)70085-3Keywords:
Intra-day, Garch-M, day-of-the-week effect, hour-of-the-day effect, and day-hour effectAbstract
The purpose of this article is to evaluate the usefulness of performance trends for forecasting the future performance of the IGBC (Colombian exchange market index). To this end, 18 different specifications of the GARCH-M model and high frequency data were used. The models in review considered the leverage, day-of-the-week, hour-of-the-day, and day-hour effects. 115 different forecasts for the next 10 minutes were assessed for each of the 18 models, using descriptive statistics and the Granger's and Newbold (1977) and Diebold's and Mariano (1995) tests. The best model was found to be the one that does not consider the day-hour effect on the mean or the varianceDownloads
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