Diversification and volatility Garch in investment portfolios with South American equity assets

• Autores: Chura Chambe, Gonzalo Daniel, Apaza Castillo, Luis Angel, Yaja Condori, Wilson Gustavo Junior
• Formato: artículo
• Fecha de Publicación: 2021
• Institución: Universidad Nacional Jorge Basadre Grohmann
• Repositorio: Revistas - Universidad Nacional Jorge Basadre Grohmann
• Lenguaje: español
• OAI Identifier: oai:revistas.unjbg.edu.pe:article/1042
• Enlace del recurso: https://revistas.unjbg.edu.pe/index.php/eyn/article/view/1042
• Nivel de acceso: acceso abierto
• Materia: diversificación; portafolios; volatilidad; diversification; volatility

The purpose of this research was to study, analyze and experiment the diversification effect of investment portfolios with South American variable income assets. The investigation was of experimental type, where 17 equity assets were involved; of which by convention 4 assets were selected from the Lima Stock Exchange, 4 assets from the Colombian Stock Exchange, 4 assets from the Brazilian Stock Exchange and 5 assets from the Chilean Stock Exchange, during the period 2015 to 2019. The five portfolios were organized, introducing in each portfolio from 5 to 17 assets to measure the impact of diversification on the volatility of the portfolios. As a result, it was found that, through the variation of the number of components in the portfolios, the impact on volatility due to the diversification effect is demonstrated. The conclusion was that, through experimentation with the number of components in the investment portfolios, evidence of the impact on the volatility of portfolios due to the diversification effect is shown.