SciELO - Scientific Electronic Library Online

 
vol.9 número17Pathology of interlocking pavementsValue at risk for a financial portfolio with options índice de autoresíndice de assuntospesquisa de artigos
Home Pagelista alfabética de periódicos  

Serviços Personalizados

Journal

Artigo

Indicadores

Links relacionados

  • Em processo de indexaçãoCitado por Google
  • Não possue artigos similaresSimilares em SciELO
  • Em processo de indexaçãoSimilares em Google

Compartilhar


Revista Ingenierías Universidad de Medellín

versão impressa ISSN 1692-3324versão On-line ISSN 2248-4094

Resumo

FERNANDEZ CASTANO, Horacio. An application of the EGARCH model to estimate the volatility of financial series. Rev. ing. univ. Medellín [online]. 2010, vol.9, n.17, pp.95-104. ISSN 1692-3324.

This article, which is the second issue, presents an application of asymmetric EGARCH model to study the dynamics of Colombia Stock Exchange General Index (IGBC) and its volatility. In the first issue, there was a brief review of the GARCH model, and its importance in modeling financial time series was shown. Likewise, weaknesses in relation to symmetry property for thick queues distribution which can generate prediction mistakes are identified. Application in which results obtained suggest that EGARCH model can be better for capturing stylized facts of the market behavior of Colombian market. As a consequence, it is meaningful, to evidence the importance of asymmetric models to calculate series volatility.

Palavras-chave : EGARCH; asymmetric; volatility; effect of supporting; IGBC.

        · texto em Espanhol     · Espanhol ( pdf )

 

Creative Commons License Todo o conteúdo deste periódico, exceto onde está identificado, está licenciado sob uma Licença Creative Commons