Egarch models applied to the test of the CAPM and the multifactorial models for Colombian actions 2002-2008

Abstract

The application of Egarch models to the test of the CAPM for Colombia allows to conclude that it occurs under conditions of high volatility and that can be used as a tool for financial analysis and projections of yield of financial and real assets. Also, multifactor models based on Egarch satisfactorily explain the behavior of the yields of the 22 most negotiated stocks in the BVC (Stock market of Colombia) with respect to the main colombian macroeconomic variables during 20002 January of and May of 2008. The behavior of the IGBC stock index is inversely related to the behavior of the real TES yield rate and the ITCR whereas it depends positively on the good news in the behavior of the production represented by the index of the manufacturing monthly sample of the DANE.