Estimation of the volatility of the prices of public debt instruments in Colombia protocols in the Markov regime change model [Estimación de la volatilidad de la deuda pública en Colombia basados en el modelo de cambio de régimen de Markov]

Abstract

This work aims to publicize whether there is a significant effect on the yields of public debt securities in Colombia in the period 2008-2019 in the presence of national and international news. Likewise, applying the Markov regime change model to identify the probabilities that exist of being in a period of high yield to a period of low yield of said securities, which will give an important contribution to investors and in terms of decisions. of monetary policy in times of uncertainty. Among the main results obtained is that there is no evidence of impact on the yields of the titles in the presence of news, whether local or global, and two regimes have been identified, one of growth of yields and the other of decrease with their respective probabilities of changing one state to another. © 2022, Associacao Iberica de Sistemas e Tecnologias de Informacao. All rights reserved.