Forecasting the variance and return of Mexican financial series with symmetric GARCH models

The present research shows the application of the generalized autoregresive conditional heteroskedasticity models (GARCH) in order to forecast the variance and return of the IPC, the EMBI, the weighted-average government funding rate, the fix exchange rate and the Mexican oil reference, as important tools for investment decisions. Forecasts in-sample and out-of-sample are performed. The covered period involves from 2005 to 2011.