Abstract

MARTINEZ-PREECE, Marissa R.; SOSA CASTRO, Miriam  and  ZUBIETA-BADILLO, Carlos. Mexican pension funds dynamic and performance: a conditional volatility with structural breaks analysis. Rev. econ. [online]. 2019, vol.36, n.93, pp.9-34.  Epub Oct 09, 2020. ISSN 2395-8715.  https://doi.org/10.33937/reveco.2019.104.

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 regime switching. In addition, an Auto-regresive Markov Regime-Switching Model was estimated, which allowed to distinguish between high and low volatility regimes. This paper contribution is to present a broader analysis of pension funds volatility through the detection of volatility regimen switching. It was concluded that the returns of the pension system rested in two regimes, one of high and the other of low volatility, with approximately the same probability of occurrence. Even though a deeper analysis of the investment policy is required, it is observed a volatility increment related to the investment policy flexibilization.

Keywords : conditional volatility; Markov Regime-Switching; structural changes; pension funds; Siefore.

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