Pronóstico de la volatilidad y shocks petroleros en mercados emergentes mediante modelos de frecuencia mixta: revisión

DOI:  https://doi.org/10.12804/revistas.urosario.edu.co/empresa/a.14259

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Publicado: nov 28, 2025
Número: Vol. 28 Núm. 50 (2026)
Sección Artículo de investigación científica y tecnológica


Palabras clave: pronóstico de volatilidad mercados emergentes GARCH-MIDAS shock petrolero

Contenido principal del artículo

Autores/as

  Jesús Enrique Molina Muñoz
Tecnológico de Monterrey
  Juliana Dussan
Universidad del Rosario
  Paula Pérez González
Universidad del Rosario

Resumen

Pronosticar la volatilidad en los mercados emergentes es un desafío por problemas de calidad de los datos, inestabilidad estructural y relaciones no lineales complejas. El modelo GARCH-MIDAS ha surgido como una alternativa prometedora, que combina las fortalezas del GARCH para incorporar datos de frecuencia mixta, cruciales para modelar fenómenos financieros. Si bien este enfoque se utiliza para estudiar la volatilidad, el estudio de los precios del petróleo y los shocks petroleros como impulsores de los efectos de la volatilidad en los mercados emergentes, resulta atractivo dada la vulnerabilidad de estas economías a los shocks petroleros, su dependencia de los ingresos petroleros y las alteraciones económicas globales. Objetivo: explorar y analizar la bibliografía sobre el uso del GARCH-MIDAS en los mercados emergentes. Metodología: consistió en una revisión sistemática combinada con un análisis bibliométrico bajo el marco prisma para garantizar la claridad, la transparencia y la reproducibilidad. Resultados principales: sugieren que los shocks petroleros tienen efectos positivos y significativos en la volatilidad bursátil y son pertinentes para los mercados emergentes. Conclusión: GARCH-MIDAS es una herramienta prometedora para pronosticar la volatilidad y que el estudio de las crisis petroleras constituye un área importante para futuras investigaciones.

Cómo citar
Molina Muñoz, J. E., Dussan, J., & Pérez González, P. (2025). Pronóstico de la volatilidad y shocks petroleros en mercados emergentes mediante modelos de frecuencia mixta: revisión. Revista Universidad Y Empresa, 28(50), 1–24. https://doi.org/10.12804/revistas.urosario.edu.co/empresa/a.14259
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