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Estimating Volatility Returns Using ARCH Models. An Empirical Case: The Spanish Energy Market

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  • Alberola, Ricardo

Abstract

Resumen: Este artículo analiza las regularidades más comunes en las series de tiempo del rendimiento diario de las acciones del mercado de energía de Espana, desde un punto de vista empírico. Al ser una herramienta poderosa para modelar su volatilidad, ajustamos una selección de procesos de heterocedasticidad condicional autorregresiva (ARCH) a las series. Se encuentra que solo dos series tienen una relación significativa, aunque diferente, entre el rendimiento condicional esperado de la acción y su varianza condicional: Enagas, cuya relación es negativa y Cepsa, cuya relación es positiva. Se encuentra, además, que el mercado eléctrico ha sido el más volátil durante el período analizado.

Suggested Citation

  • Alberola, Ricardo, 2007. "Estimating Volatility Returns Using ARCH Models. An Empirical Case: The Spanish Energy Market," Revista Lecturas de Economía, Universidad de Antioquia, CIE, May.
    • Handle: RePEc:col:000174:005531
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    References listed on IDEAS

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    Cited by:

    1. Yue Zhang, 2021. "The COVID-19 Outbreak and Oil Stock Price Fluctuations - Evidence From China," Energy RESEARCH LETTERS, Asia-Pacific Applied Economics Association, vol. 2(3), pages 1-5.

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    More about this item

    Keywords

    series financieras; acciones; rendimiento; riesgo; volatilidad; modelos ARCH; puntos de cambio estructural;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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