<?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>1665-5346</journal-id>
<journal-title><![CDATA[Revista mexicana de economía y finanzas]]></journal-title>
<abbrev-journal-title><![CDATA[Rev. mex. econ. finanz]]></abbrev-journal-title>
<issn>1665-5346</issn>
<publisher>
<publisher-name><![CDATA[Instituto Mexicano de Ejecutivos de Finanzas A.C.]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S1665-53462019000500601</article-id>
<article-id pub-id-type="doi">10.21919/remef.v14i0.425</article-id>
<title-group>
<article-title xml:lang="en"><![CDATA[Active portfolio management in the Andean countries&#8217;stock markets with Markov-Switching GARCH models]]></article-title>
<article-title xml:lang="es"><![CDATA[Administración activa de portafolios con modelos markovianos de cambio de régimen-GARCH en los principales países de la región andina]]></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 contrib-type="author">
<name>
<surname><![CDATA[Aguilasocho-Montoya]]></surname>
<given-names><![CDATA[Dora]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Álvarez-García]]></surname>
<given-names><![CDATA[José]]></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>
<aff id="Af2">
<institution><![CDATA[,Universidad de Extremadura  ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Spain</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>00</month>
<year>2019</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>00</month>
<year>2019</year>
</pub-date>
<volume>14</volume>
<numero>spe</numero>
<fpage>601</fpage>
<lpage>616</lpage>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S1665-53462019000500601&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S1665-53462019000500601&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S1665-53462019000500601&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract In the present paper we test the benefits of using two-regime Markov-Switching (MS) models in the stock markets of the MSCI Andean index (Chile, Colombia and Perú). We tested this with either, constant, ARCH or GARCH variances and Gaussian or t-Student log-likelihood functions. By performing 996 weekly simulations from January 2000 to January 2019 with each MS model, we 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 the stock market index otherwise. Our results suggest that the Gaussian MS-GARCH models are the most suitable to generate alpha in the Chilean stock market and the Gaussian MS-ARCH in the Colombian one. For the Peruvian case, we found that is preferable to perform passive investing instead of active trading.]]></p></abstract>
<abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen En el presente trabajo se estudia el empleo de modelos markovianos con cambio de régimen (Markov-Switching, MS) de dos regímenes. Estos con varianza constante, ARCH o GARCH, así como con probabilidad gaussiana o t-Student. Los mismos se utilizaron para administrar activamente portafolios en los mercados accionarios andinos (Chile, Colombia y Perú). Al simular 996 semanas de enero del 2000 a enero del 2019, se ejecutó la siguiente estrategia de inversión 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 gaussianos es lo mejor para la administración activa en el mercado chileno, que el modelo MS-ARCH gaussiano lo es en el colombiano y que es preferible la administración pasiva en Perú.]]></p></abstract>
<kwd-group>
<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[Andean region stocks]]></kwd>
<kwd lng="en"><![CDATA[Computational Finance]]></kwd>
<kwd lng="en"><![CDATA[Risk management]]></kwd>
<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[Acciones de la región Andina]]></kwd>
<kwd lng="es"><![CDATA[Finanzas computacionales]]></kwd>
<kwd lng="es"><![CDATA[Administración de riesgos]]></kwd>
</kwd-group>
</article-meta>
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