Análisis Econométrico del Riesgo y Rendimiento de las SIEFORES

Abstract

The Investment Funds Specialised in Retirement Saving in Mexico (Sociedades de Inversion de los Fondos de Ahorro para el Retiro, known as SIEFORES) are quoted daily in the Mexican Stock Exchange (Bolsa Mexicana de Valores). This paper analyses the behaviour of returns and volatility of SIEFORES. The econometric evidence suggests the presence of fractional integration. Additionally, it detects volatility clusters and excess kurtosis, a characteristic usually associated with time changing and highly persistent volatility. The above findings indicate that returns and volatility may be modulated with an ARMA-FIGARCH model. Our results lies in providing information to enhance accuracy of risk management models that may be used by SIEFORES. Improved risk management techniques may better protect the value of workers retirement saving and turn beneficial to Mexico¥s financial and economic stability.