Resumo

URIBE GIL, Jorge Mario. Risk Regimes in the Colombian Stock Market. Soc. Econ. [online]. 2016, n.30, pp.335-351. ISSN 1657-6357.

In this paper, we seek to test the hypothesis of possible changes in risk levels in Colombian stock market. An AR-SWARCH model is estimated for the returns of the General Index of Colombia Stock Exchange during the period July 2001-December 2013. Two different risk regimes are identified in the analysis. At the highest risk, the factor that measures how variance increases amounts to 2.23. Those findings highlight the need to consider the transition dynamics between regimes within the analysis by financial practitioners and regulators, operating in Colombian stock market. Those regimes are also related to previously detected failures in the literature in terms of informational efficiency (bubbles), and to significant changes in the size and liquidity of the market.

Palavras-chave : SWARCH; IGBC; risk regimes; GARCH Colombia; conditional volatility.

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