Title: Medición de la volatilidad en series de tiempo financieras: una evaluación a la tasa de cambio representativa del mercado (TRM) en Colombia
Measurement of volatility in financial time series: an evaluation of the representative exchange rate market (ERM) in Colombia
Authors: Montenegro, Roberto
Keywords: TRM
ARCH
GARCH
IGARCH
EGARCH
TARCH
MERCADO DE VALORES-COLOMBIA
OPCIONES (FINANZAS)-COLOMBIA
MERCADO DE CAPITALES-COLOMBIA
Issue Date: Jun-2010
Citation: Montenegro, R. (2010). Medición de la volatilidad en series de tiempo financieras: una evaluación a la tasa de cambio representativa del mercado (TRM) en Colombia. Revista Finanzas y Política Económica, Vol. 2 (1) Recuperado de http://editorial.ucatolica.edu.co/ojsucatolica/revistas_ucatolica/index.php/RFYPE/article/view/547/568
Abstract: Existen diferentes métodos para la medición del agrupamiento de la volatilidad en las series financieras, en las cuales el supuesto sobre la distribución del error determina la estructura de la función de log verosimilitud. En este documento se explota la flexibilidad de los modelos ARCH para capturar los agrupamientos de la volatilidad de la Tasa Representativa del Mercado TRM colombiana. Los resultados indican que el modelo MA (1) en media y el modelo GARCH (1, 1) en varianza superan otro tipo de especificación, que trate de medir el agrupamiento de la volatilidad de la TRM colombiana
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URI: http://hdl.handle.net/10983/627
ISSN: 2248-6046
metadata.dc.relation.ispartof: Revista Finanzas y Política Económica, Vol. 2 no. 1 (ene.-jun. 2010); p. 126-130
Appears in Collections:Finanzas y Política Económica

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