<?xml version="1.0" encoding="ISO-8859-1"?><article xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<front>
<journal-meta>
<journal-id>0186-1042</journal-id>
<journal-title><![CDATA[Contaduría y administración]]></journal-title>
<abbrev-journal-title><![CDATA[Contad. Adm]]></abbrev-journal-title>
<issn>0186-1042</issn>
<publisher>
<publisher-name><![CDATA[Universidad Nacional Autónoma de México, Facultad de Contaduría y Administración]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S0186-10422021000100016</article-id>
<article-id pub-id-type="doi">10.22201/fca.24488410e.2020.2657</article-id>
<title-group>
<article-title xml:lang="es"><![CDATA[Inversión con modelos Markov-Switching GARCH: un estudio comparativo entre México y Argentina]]></article-title>
<article-title xml:lang="en"><![CDATA[Investing with Markov-Switching GARCH models: A comparative test between Mexico and Argentina]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Torre-Torres]]></surname>
<given-names><![CDATA[Oscar V. De la]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Universidad Michoacana de San Nicolás de Hidalgo  ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Mexico</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>03</month>
<year>2021</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>03</month>
<year>2021</year>
</pub-date>
<volume>66</volume>
<numero>1</numero>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S0186-10422021000100016&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S0186-10422021000100016&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S0186-10422021000100016&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen En este artículo se estudia el empleo de modelos markovianos con cambio de régimen (Markov-Switching) de dos regímenes, varianza GARCH y con funciones de verosimiltud gaussiana o t-Student homogéneas entre regímenes. Esto para administrar activamente portafolios en la bolsa de Buenos Aires y la Bolsa Mexicana de Valores. Al realizar 996 simulaciones semanales de enero del 2000 a enero del 2019, se ejecutó la siguiente estrategia de inversión para un portafolio denominado en dólares de los EEUU: 1) invertir en el activo libre de riesgo si la probabilidad de estar en el régimen de alta volatilidad en t+1 es mayor a 50% o 2) invertir en el índice accionario en caso contrario. Los resultados sugieren que emplear modelos MS-GARCH t-Student en una administración activa lleva a un mejor desempeño en el caso argentino y los modelos MS con varianza constante y función gaussiana en el mexicano. Esto en comparación con una estrategia pasiva tipo &#8220;comprar y mantener&#8221;.]]></p></abstract>
<abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract In the present paper I test the benefits, for active portfolio management purposes, of using two-regime Markov-Switching (MS) models with GARCH variance. This, with either a Gaussian or t-Student homogeneous likelihood function, in the Buenos Aires and in the Mexican Stock Exchanges. By performing 996 weekly simulations from January 2000 to January 2019 in each MS model, I tested the next investment strategy for a U.S. dollar based investor: 1) to invest in the risk-free asset if the probability of being in the high-volatility regime at t+1 is higher than 50% or 2) to do it in an equity index otherwise. The results suggest that the t-Student MS-GARCH model is the best option to generate alpha in Argentina and the constant variance gaussian one in Mexico. This, against a &#8220;buy and hold&#8221; investment strategy.]]></p></abstract>
<kwd-group>
<kwd lng="es"><![CDATA[Markov-Switching GARCH]]></kwd>
<kwd lng="es"><![CDATA[Cadenas markovianas]]></kwd>
<kwd lng="es"><![CDATA[Administración activa de portafolios]]></kwd>
<kwd lng="es"><![CDATA[Bolsa de comercio de Buenos Aires]]></kwd>
<kwd lng="es"><![CDATA[Bolsa Mexicana de Valores]]></kwd>
<kwd lng="es"><![CDATA[Mercados frontera]]></kwd>
<kwd lng="es"><![CDATA[Finanzas computacionales]]></kwd>
<kwd lng="es"><![CDATA[Admi-nistración de riesgos]]></kwd>
<kwd lng="es"><![CDATA[C580]]></kwd>
<kwd lng="es"><![CDATA[G11]]></kwd>
<kwd lng="es"><![CDATA[G170]]></kwd>
<kwd lng="en"><![CDATA[Markov-Switching GARCH]]></kwd>
<kwd lng="en"><![CDATA[Markov chain processes]]></kwd>
<kwd lng="en"><![CDATA[Active portfolio management]]></kwd>
<kwd lng="en"><![CDATA[Buenos Aires stock exchange]]></kwd>
<kwd lng="en"><![CDATA[Mexican stock exchange]]></kwd>
<kwd lng="en"><![CDATA[Frontier markets]]></kwd>
<kwd lng="en"><![CDATA[Computational Finance, Risk management]]></kwd>
<kwd lng="en"><![CDATA[C580]]></kwd>
<kwd lng="en"><![CDATA[G11]]></kwd>
<kwd lng="en"><![CDATA[G170]]></kwd>
</kwd-group>
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