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Modelos ARCH, GARCH y EGARCH: aplicaciones a series financieras

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  • Marta Casas Monsegny

    ()

  • Edilberto Cepeda

    ()

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    Abstract

    En este artículo se incluye una descripción de los modelos ARCH, GARCH y EGARCH, y de los procesos de estimación de sus parámetros usando máxima verosimilitud. Se propone un modelo alternativo para el análisis de series financieras y se estudian las series de precios y de retornos de las acciones deGillette. La selección de modelos usando los criterios AIC y BIC permite concluir que, de los modelos considerados el GARCH(1,2) es el que mejor explica el comportamiento de los precios de las acciones y el EGARCH(2,1) es el que mejor explica la serie de los retornos.

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    File URL: http://www.fce.unal.edu.co/media/files/documentos/Cuadernos/48/v27n48_casas_2008.pdf
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    Bibliographic Info

    Article provided by UN - RCE - CID in its journal REVISTA CUADERNOS DE ECONOMÍA.

    Volume (Year): (2008)
    Issue (Month): ()
    Pages:

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    Handle: RePEc:col:000093:004845

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    Keywords: modelos ARCH; GARCH y EGARCH; predicción;

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