This paper evaluates the performance of 17 different parametric and non-parametric specifications and high frequency data for Colombian exchange market index (IGBC). We model the variance of the 10-minute returns using GARCH-M and TGARCH models that take in account the leverage effect, the...

Abstract: Using 18 different specifications of the GARCH-M model and high frequency datafor the Colombian exchange market index (IGBC), we evaluate the out-of-sample performanceof the models. The models considered take in account the leverage effect, the day-of-the-weekeffect, and the...