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Volatilidad de Indices Accionarios: El caso del IPSA

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  • Rodrigo A. Alfaro
  • Carmen Gloria Silva

Abstract

This paper reviews the traditional ways to measure volatility which are based only on closing prices, and introduces alternative measurements that use additional information of prices during the day: opening, minimum, maximum, and closing prices. Using th

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Bibliographic Info

Article provided by Instituto de Economía. Pontificia Universidad Católica de Chile. in its journal Cuadernos de Economía-Latin American Journal of Economics.

Volume (Year): 45 (2008)
Issue (Month): 132 ()
Pages: 217-233

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Handle: RePEc:ioe:cuadec:v:45:y:2008:i:132:p:217-233

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Related research

Keywords: Volatilidad; modelo binomial; GARCH; VIX; sesgo y eficiencia;

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References

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  1. Parkinson, Michael, 1980. "The Extreme Value Method for Estimating the Variance of the Rate of Return," The Journal of Business, University of Chicago Press, vol. 53(1), pages 61-65, January.
  2. Asger Lunde & Peter R. Hansen, 2005. "A forecast comparison of volatility models: does anything beat a GARCH(1,1)?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(7), pages 873-889.
  3. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
  4. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
  5. Hwang. S. & Pedro L. Valls Pereira, 2003. "Small Sample Properties of GARCH Estimates and Persistence," Finance Lab Working Papers flwp_48, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  6. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
  7. Garman, Mark B & Klass, Michael J, 1980. "On the Estimation of Security Price Volatilities from Historical Data," The Journal of Business, University of Chicago Press, vol. 53(1), pages 67-78, January.
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Cited by:
  1. Dale Gray & Carlos García & Leonardo Luna & Jorge E. Restrepo, 2009. "Incorporating Financial Sector Risk into Monetary Policy Models: Application to Chile," Working Papers Central Bank of Chile 553, Central Bank of Chile.
  2. Alfaro, Rodrigo & Silva, Carmen Gloria, 2010. "Stock Index Volatility: the case of IPSA," MPRA Paper 25906, University Library of Munich, Germany, revised 31 Mar 2010.
  3. Rodrigo A. Alfaro. & Andrés Sagner & Carmen G. Silva, 2011. "Aplicaciones del Modelo Binomial para el Análisis de Riesgo," Working Papers Central Bank of Chile 631, Central Bank of Chile.

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