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Modelos ARCH, GARCH y EGARCH: aplicaciones a series financieras

Listed author(s):
  • Marta Casas Monsegny


  • Edilberto Cepeda


Registered author(s):

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

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

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    Handle: RePEc:col:000093:004845
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