Ejercicios econometría.

1.

R=0.001894+ ε t

σ 2t =0.00000854+0.020641 ε 2t −1+ 0.973822σ 2t−1

σ 2t =0.00000854+0.020641( 0.03)2 +0.973822(0.04)2

σ 2t =0.0015852321

La volatilidad pronosticada con el modelo GARCH (1,1) para el día (t) ES 0.0015852321

2.

a) Gráficos

Grupo AVAL
Log Differenced PFAVAL
.10

.08

.06

.04

.02

.00

-.02

-.04

-.06
M1 M2 M3 M4 M5 M6 M7 M8 M9 M10 M11 M12
2019

Según las gráficas la volatilidad del precio de las acciones del grupo AVAL no es tan grande, en el
mes que mas distanciamiento tuvieron de la media, por lo tanto, las predicciones que se hagan del
modelo serán más verídicas porque la variación con las que cuenta el modelo no es tan superior.
Bancolombia
Log Differenced PFBCOLOM
.04

.03

.02

.01

.00

-.01

-.02

-.03

-.04
M1 M2 M3 M4 M5 M6 M7 M8 M9 M10 M11 M12
2019

El precio de la acción de Bancolombia es bastante irregular en cuanto a su comportamiento, ya

que cuenta con bastante volatilidad en sus precios mes a mes, lo que hace para el inversionista
una acción a la cual sea complejo invertir.

b)

Pruebas ADF a nivel

Grupo AVAL
Null Hypothesis: PFAVAL has a unit root
Exogenous: Constant
Lag Length: 1 (Automatic - based on AIC, maxlag=15)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -0.846441 0.8036

Test critical values: 1% level -3.457173
5% level -2.873240
10% level -2.573080

*MacKinnon (1996) one-sided p-values.

Bancolombia
Null Hypothesis: PFBCOLOM has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on AIC, maxlag=15)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -2.221630 0.1992

Test critical values: 1% level -3.457061
5% level -2.873190
10% level -2.573054

*MacKinnon (1996) one-sided p-values.

Pruebas ADF a primera diferencia

Grupo AVAL
Null Hypothesis: D(PFAVAL) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on AIC, maxlag=15)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -20.49560 0.0000

Test critical values: 1% level -3.457173
5% level -2.873240
10% level -2.573080

*MacKinnon (1996) one-sided p-values.

Bancolombia
Null Hypothesis: D(PFBCOLOM) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on AIC, maxlag=15)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -16.83194 0.0000

Test critical values: 1% level -3.457173
5% level -2.873240
10% level -2.573080

*MacKinnon (1996) one-sided p-values.

Ambas series según las pruebas ADF presentan orden de integración 1.

c) Estadísticas descriptivas

Grupo AVAL
PFAVAL
Mean 1255.800
Median 1270.000
Maximum 1475.000
Minimum 996.0000
Std. Dev. 104.0314
Skewness -0.146262
Kurtosis 2.626967

Jarque-Bera 2.294061
Probability 0.317578

Sum 307671.0
Sum Sq. Dev. 2640699.

Observations 245

Bancolombia
PFBCOLOM
Mean 40720.24
Median 41300.00
Maximum 46500.00
Minimum 32000.00
Std. Dev. 3255.919
Skewness -0.727662
Kurtosis 2.794486

Jarque-Bera 22.05210
Probability 0.000016

Sum 9976460.
Sum Sq. Dev. 2.59E+09

Observations 245

La mejor empresa en la cual se puede invertir es el grupo AVAL, porque sus acciones no
representan tanto riesgo como lo hacen las de Bancolombia.
d)

Bancolombia ARIMA ((1,7,35)1,0)

Dependent Variable: DBCOLOM
Method: Least Squares
Date: 04/16/21 Time: 23:33
Sample: 1/03/2019 12/30/2019
Included observations: 244
Convergence achieved after 11 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C 55.74842 22.73804 2.451769 0.0149

AR(1) -0.066649 0.053571 -1.244107 0.2147
AR(7) -0.141239 0.060237 -2.344730 0.0199
AR(35) -0.212121 0.065700 -3.228639 0.0014
SIGMASQ 241581.4 22554.34 10.71108 0.0000

R-squared 0.082050 Mean dependent var 56.55738

Adjusted R-squared 0.066687 S.D. dependent var 514.0604
S.E. of regression 496.6240 Akaike info criterion 15.28124
Sum squared resid 58945862 Schwarz criterion 15.35290
Log likelihood -1859.311 Hannan-Quinn criter. 15.31010
F-statistic 5.340724 Durbin-Watson stat 1.965276
Prob(F-statistic) 0.000389

e)

Grupo AVAL (1,1,0)

Dependent Variable: DAVAL
Method: ARMA Maximum Likelihood (OPG - BHHH)
Date: 04/16/21 Time: 23:41
Sample: 1/03/2019 12/30/2019
Included observations: 244
Convergence achieved after 24 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C 1.848816 0.886553 2.085398 0.0381

AR(1) -0.245909 0.045807 -5.368392 0.0000
SIGMASQ 275.8486 17.78236 15.51248 0.0000

R-squared 0.054990 Mean dependent var 1.901639

Adjusted R-squared 0.047148 S.D. dependent var 17.12020
S.E. of regression 16.71174 Akaike info criterion 8.482575
Sum squared resid 67307.05 Schwarz criterion 8.525573
Log likelihood -1031.874 Hannan-Quinn criter. 8.499892
F-statistic 7.011884 Durbin-Watson stat 1.873153
Prob(F-statistic) 0.001097

Inverted AR Roots -.25

Pruebas ARCH

Bancolombia
Heteroskedasticity Test: ARCH

F-statistic 5.253713 Prob. F(1,241) 0.0228

Obs*R-squared 5.184297 Prob. Chi-Square(1) 0.0228

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 04/17/21 Time: 10:18
Sample (adjusted): 1/04/2019 12/30/2019
Included observations: 243 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

C 207131.5 27154.27 7.627954 0.0000

RESID^2(-1) 0.146067 0.063726 2.292098 0.0228

R-squared 0.021335 Mean dependent var 242563.7

Adjusted R-squared 0.017274 S.D. dependent var 351052.7
S.E. of regression 348007.5 Akaike info criterion 28.36603
Sum squared resid 2.92E+13 Schwarz criterion 28.39478
Log likelihood -3444.473 Hannan-Quinn criter. 28.37761
F-statistic 5.253713 Durbin-Watson stat 2.004342
Prob(F-statistic) 0.022763

Grupo AVAL
Heteroskedasticity Test: ARCH

F-statistic 20.42807 Prob. F(1,241) 0.0000

Obs*R-squared 18.98810 Prob. Chi-Square(1) 0.0000

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 04/17/21 Time: 10:20
Sample (adjusted): 1/04/2019 12/30/2019
Included observations: 243 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

C 193.2107 29.89069 6.463909 0.0000

RESID^2(-1) 0.208627 0.046159 4.519742 0.0000

R-squared 0.078140 Mean dependent var 250.8903

Adjusted R-squared 0.074315 S.D. dependent var 437.9346
S.E. of regression 421.3479 Akaike info criterion 14.93299
Sum squared resid 42785703 Schwarz criterion 14.96174
Log likelihood -1812.358 Hannan-Quinn criter. 14.94457
F-statistic 20.42807 Durbin-Watson stat 1.864131
Prob(F-statistic) 0.000010
f)

ARCH (1) Bancolombia

Dependent Variable: DAVAL
Method: ML ARCH - Normal distribution (OPG - BHHH / Marquardt steps)
Date: 04/17/21 Time: 11:45
Sample (adjusted): 1/04/2019 12/30/2019
Included observations: 243 after adjustments
Failure to improve likelihood (non-zero gradients) after 126 iterations
Coefficient covariance computed using outer product of gradients
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2

Variable Coefficient Std. Error z-Statistic Prob.

C 1.412835 0.706773 1.998994 0.0456

AR(1) -0.187909 0.057350 -3.276535 0.0011

Variance Equation

C 174.3306 14.10485 12.35962 0.0000

RESID(-1)^2 0.194878 0.086250 2.259438 0.0239

R-squared 0.053303 Mean dependent var 1.563786

Adjusted R-squared 0.049375 S.D. dependent var 16.32011
S.E. of regression 15.91211 Akaike info criterion 8.362187
Sum s quared resid 61020.07 Schwarz criterion 8.419686
Log likelihood -1012.006 Hannan-Quinn criter. 8.385347
Durbin-Watson stat 1.970803

Inverted AR Roots -.19

ARCH (1) Grupo AVAL

Dependent Variable: DCOLOM
Method: ML ARCH - Normal distribution (OPG - BHHH / Marquardt steps)
Date: 04/17/21 Time: 11:44
Sample (adjusted): 2/22/2019 12/30/2019
Included observations: 209 after adjustments
Failure to improve likelihood (non-zero gradients) after 12 iterations
Coefficient covariance computed using outer product of gradients
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2

Variable Coefficient Std. Error z-Statistic Prob.

C 49.77871 25.47713 1.953858 0.0507

AR(35) -0.230145 0.062099 -3.706100 0.0002

Variance Equation

C 190050.3 20784.20 9.143980 0.0000

RESID(-1)^2 0.188525 0.090884 2.074356 0.0380

R-squared 0.058551 Mean dependent var 47.36842

Adjusted R-squared 0.054003 S.D. dependent var 539.0708
S.E. of regression 524.3132 Akaike info criterion 15.38123
Sum squared resid 56905206 Schwarz criterion 15.44520
Log likelihood -1603.339 Hannan-Quinn criter. 15.40710
Durbin-Watson stat 2.152696

Inverted AR Roots .96+.09i .96-.09i .92+.26i .92-.26i

.86+.42i .86-.42i .78-.56i .78+.56i
.66+.69i .66-.69i .53-.80i .53+.80i
.38-.88i .38+.88i .21+.93i .21-.93i
.04-.96i .04+.96i -.13+.95i -.13-.95i
-.30-.91i -.30+.91i -.45-.84i -.45+.84i
-.60+.75i -.60-.75i -.72+.63i -.72-.63i
-.82-.49i -.82+.49i -.90-.34i -.90+.34i
-.94+.17i -.94-.17i -.96
g)

Bancolombia pronóstico
1,500

1,000

500

-500

-1,000

-1,500

-2,000
M1 M2 M3 M4 M5 M6 M7 M8 M9 M10 M11 M12
2019

DCOLOMF DCOLOM

Datos pronosticados

Pronóstico
Día Valor
31 139.48430
1 65.83792
2 194.71908
3 88.85241

Modelo ARIMA (35,1,0) – ARCH (1)

y t =49.77871−0.230145 y t −35 + ε t

σ 2t =190050.3+0.188525 ε 2t −1
Grupo AVAL Pronóstico
100

80

60

40

20

-20

-40

-60

-80
M1 M2 M3 M4 M5 M6 M7 M8 M9 M10 M11 M12
2019

DAVALF DAVAL

Datos pronosticados

Pronóstico
Día Valor
31 4.49695
1 0.83329
2 1.52173
3 1.39237

Modelo ARIMA (1,1,0) – ARCH (1)

y t =1.412835−0.187909 y t −1 + ε t

σ 2t =174.3306+0.194878 ε 2t −1
h) Pronóstico de la varianza

Grupo AVAL
100

80

60

40

20

-20

-40

-60

-80
M1 M2 M3 M4 M5 M6 M7 M8 M9 M10 M11 M12
2019

VARAVALF VARAVAL

Pronóstico
Día Valor
31 2.59531
1 -1.06833
2 -0.37990
3 -0.50926
Bancolombia
1,500

1,000

500

-500

-1,000

-1,500

-2,000
M1 M2 M3 M4 M5 M6 M7 M8 M9 M10 M11 M12
2019

VARCOLOMF VARCOLOM
 Pronóstico
Día Valor
31 82.92692
1 9.28054
2 138.16170
3 32.29503

i)

Bancolombia AVAL
Media 57.61650695 1.90421115
Varianza 259038.4058 287.225477
D.E. 508.9581572 16.9477278
C.V. 8.833547609 8.90013056

Teniendo en cuenta los resultados, el inversionista debería inclinarse por grupo AVAL, ya que es la
que menor volatilidad presenta, y para los periodos pronosticados presentan mayor crecimiento,
aunque el margen de ganancia por una inversión en Bancolombia podría ser mayor, estaría
corriendo cierto riesgo, por lo tanto la elección más consciente con base en los resultados en con
Bancolombia.