Examinando por Materia "GARCH Models"

Mostrando 1 - 1 de 1
  • No hay miniatura disponible
    Publicación
    Persistencia y eventos en el riesgo de crédito soberano de Estados Unidos : un enfoque fundamental y de aprendizaje automático aplicado a los CDS a 5 y 10 años
    (Universidad EAFIT, 2025-12-01) González, María Alejandra; Sánchez Duque, Juan Manuel; Ruiz Montalvo, Diego Alejandro; Almonacid Hurtado, Paula María; Botero Ramírez, Juan Carlos
    The objective of this work is to analyze the dynamics of US sovereign credit risk, measured by 5- and 10-year Credit Default Swaps (CDS), using both fundamental and machine learning approaches. The short-term analysis, using ADL, GARCH-MIDAS, and T-GARCH models, revealed that volatility and macroeconomic uncertainty (VIX, 3-month Treasury rate) have a detectable but limited effect on CDS. In the long term, level models (AR(1) and ARDL) demonstrated that the most stable and dominant factor is the CDS’s own temporal persistence (with a significant autoregressive coefficient). Findings conclude that the evolution of sovereign risk is primarily determined by its historical inertia and strong autocorrelation, implying that traditional economic fundamentals play a secondary role in determining current risk levels.