Análisis de las estrategias de cobertura basadas en un modelo de regresión cuantílica multiescala
DOI:
https://doi.org/10.21919/remef.v21i4.1055Palabras clave:
Mercados de futuros emergentes, razón de cobertura cuantílica multiescala, modelos de cobertura multiescala, análisis de ondoletas.Resumen
Este trabajo tiene como objetivo combinar la teoría de ondoletas y el método de regresión cuantílica para estimar las razones de cobertura cuantílica multiescala (RCCM) y examinar la efectividad de las coberturas en diferentes escalas de tiempo para los portafolios de los índices accionarios Bovespa y S&P/BMV IPC. Los resultados revelan que las RCCM y la efectividad de las coberturas se incrementan en los horizontes de cobertura más largos. Bajo los criterios de reducción de varianza y VaR, los resultados indican que el desempeño del modelo de RC multiescala tiene ventajas comparativas sobre el modelo de MCO multiescala para mejorar la calidad de las coberturas dentro y fuera de la muestra, particularmente para los futuros del índice accionario S&P/BMV IPC. Asimismo, el modelo de RC multiescala tiene mejores propiedades predictivas para reducir el riesgo base y el exceso de riesgo residual de cola para el portafolio de cobertura. Los hallazgos tienen implicaciones para la asignación eficiente de capital de los inversionistas adversos al riesgo y la regulación del régimen de inversión de los fondos de pensiones de Brasil y México.
Citas
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