Resumo

FERNANDEZ CASTANO, Horacio. EGARCH: a model to estimate the asymmetric volatility of financial series. Rev. ing. univ. Medellín [online]. 2010, vol.9, n.16, pp.49-60. ISSN 1692-3324.

In the modeling of volatility with rapid changes, it is imperative to use models to describe and analyze the dynamics of volatility, as investors, among other things, may be interested in estimating the rate of return and volatility of an instrument financial or other derivatives, only during the holding period. This article contains an evaluation of asymmetric EGARCH model that proves to be very useful to study the dynamics of the General Index of the Stock Exchange of Colombia (IGBC) and its volatility, since, as will be shown, the results suggest they could be more useful for capture the stylized facts of the Colombian market behavior. It is really significant to evidence the importance of asymmetric models to estimate the volatility of financial series is intended here as a model for identifying, in the best way to estimate the volatility of daily returns of the IGBC.

Palavras-chave : EGARCH; asymmetric; volatility; leverage effect; IGBC.

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