Resumo

ALBEROLA, Ricardo. Estimating Volatility Returns Using ARCH Models. An Empirical Case: The Spanish Energy Market. Lect. Econ. [online]. 2007, n.66, pp.251-276. ISSN 0120-2596.

This paper analyzes the most common regularities of daily stock returns time series in the Spanish Energy Market from an empirical point of view. As they are a powerful tool, we fit a selection of developments of Autoregressive Conditional Heteroscedastic (ARCH) processes to the series in order to model their volatility. The paper finds that just two series have a significant and different relationship between the expected conditional stock return and its own conditional variance: Enagas (negative) and Cepsa (positive). It also finds that the electric market has been the most volatile market during the period under analysis.

Palavras-chave : financial series; stock; return; risk; volatility; ARCH model; structural change points.

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