Eficiencia adaptativa y volatilidad asimétrica en mercados globales de commodities
DOI:
https://doi.org/10.21919/remef.v21i4.1563Palabras clave:
Materias primas, Hipótesis de los mercados eficientes, Hipótesis de los mercados adaptativos, Estrés inflacionarioResumen
Este estudio evalúa la eficiencia en forma débil y la dinámica de la volatilidad en 14 materias primas durante el periodo de estrés inflacionario 2022–2024. Su metodología aplica un enfoque de dos etapas: el periodo 1999 a 2022 se emplea para el entrenamiento del modelo y el periodo 2022–2024 como análisis fuera de muestra, basado en modelos ARIMA-EGARCH con distribución t de Student sesgada y validación por backtesting de VaR. Los resultados confirman que la eficiencia varía según la liquidez del activo y revelan una volatilidad persistente y asimétrica con efecto apalancamiento. Como recomendación, se sugiere adoptar modelos asimétricos para lograr una gestión de riesgos más precisa en contextos de alta incertidumbre. Las limitaciones de la investigación se acotan al uso univariante de precios de cierre diarios omitiendo variables exógenas, lo que impacta la parametrización de carteras extremas. Su originalidad radica en utilizar el periodo 2022–2024 como un experimento natural de estrés sistémico global. Finalmente, se concluye que el modelo EGARCH es superior para preservar la estabilidad financiera al demostrar la coexistencia de precios impredecibles y riesgos predecibles.
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