Modelización heterocedástica multivariante de la dinámica del riesgo sistemático en el mercado chileno de valores

the objective of this work consists in examining the dynamic process of the systematic risk experimented by the most representative exchange indexes of the chilean securities market. to do so, a garch multivariant model is proposed in order to relax several of the hypotheses implicit in the traditional market model, such as temporary stability of the beta risk coefficient and the homocedasticity of the term of error. additionally, consideration is given to the possible appearance of an asymmetric affect between profitability and volatility of the indexes. the model also makes it possible to analyze the effect that the financial crisis has had on risk in the chilean indexes. the results showed the presence of different stochastic dynamic processes that guide evolution of systematic risk in the selected indexes, as well as a significant change in the evolution of systematic risk due to the financial crisis.