Resumo

ESCOBAR CABA, Luis Fernando  e  BANEGAS RIVERO, Roger Alejandro. Volatility in bank deposits in Bolivia: symmetric and asymmetric GARCH modeling approach. rlde [online]. 2024, n.41, pp.69-102.  Epub 01-Maio-2024. ISSN 2074-4706.  https://doi.org/10.35319/lajed.202441514.

The hypothesis of this paper is based on the fact that asymmetric heterocedastic conditional autoregressive volatility models fit better when analyzing liquidity risk than symmetric models. In a scenario of illiquidity in the financial system, the reaction of economic agents is sensitive to the good and bad news of the economic and political situation in the country, generating financial panics that can lead to an increase in the demand for cash (systemic risk scenario). The results indicate that the dynamic asymmetric volatility models GJR (1.1) and APARCH (1.1) have the best ability to predict the volatility of demand deposits and savings banks, respectively. Also, the estimates ofthe symmetric models fit better to a Student’s t-distribution in the innovations, compared to the normal and generalized error distribution.

Palavras-chave : Liquidity risk; Volatility; GARCH family; VaR.

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