Mexican pension funds dynamic and performance: a conditional volatility with structural breaks analysis
DOI:
https://doi.org/10.33937/reveco.2019.104Keywords:
conditional volatility, Markov regime-switching, structural changes, pension funds, sieforeAbstract
The objective of this paper is to analyze the pension system returns conditional volatility, as well as the volatility dynamics and structural changes that have taken place during the period studied (July 1997 to April 2018). In order to achieve this objective, the methodology used was to implement GARCH (1,1) models, and to conduct various tests to ascertain the presence of regimen switching. In addition, an Autorregresive Markov Regime-Switching Model was estimated, which
allowed to distinguish between high and low volatility regimens. This paper contribution is to present a broader analysis of pension funds volatility through the detection of volatility regimen
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D.R. © Revista de Economía
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