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Cuatro hechos estilizados de las series de rendimientos: Una ilustración para Colombia







En este documento empleamos las seriesde la Tasa de Cambio Representativade Mercado y el Índice Generalde la Bolsa Colombia para ilustrarcuatro hechos estilizados muy conocidosen la literatura financiera: i) las series de precios siguen un caminoaleatorio, ii) la distribución de losrendimientos es leptocúrtica y exhibecolas pesadas, iii) a medida que se calculanlos rendimientos para períodosmás amplios su distribución se acercamás a la distribución normal, y iv) losrendimientos presentan volatilidadagrupada (volatility clustering).

Suggested Citation

  • Julio César Alonso & Mauricio Alejandro Arcos, 2006. "Cuatro hechos estilizados de las series de rendimientos: Una ilustración para Colombia," ESTUDIOS GERENCIALES, UNIVERSIDAD ICESI, August.
  • Handle: RePEc:col:000129:004141

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    Cited by:

    1. Julio César Alonso & Paul Seeman, 2010. "Cálculo del VaR con volatilidad no constante en R," APUNTES DE ECONOMÍA 009097, UNIVERSIDAD ICESI.
    2. Julio César Alonso & Paul Seeman, 2009. "Cálculo del Valor en Riesgo y Pérdida Esperada mediante R: Empleando modelos con volatilidad constante," APUNTES DE ECONOMÍA 009096, UNIVERSIDAD ICESI.
    3. Mateusz Buczyński & Marcin Chlebus, 2017. "Is CAViaR model really so good in Value at Risk forecasting? Evidence from evaluation of a quality of Value-at-Risk forecasts obtained based on the: GARCH(1,1), GARCH-t(1,1), GARCH-st(1,1), QML-GARCH(," Working Papers 2017-29, Faculty of Economic Sciences, University of Warsaw.
    4. repec:col:000385:015975 is not listed on IDEAS

    More about this item


    Rendimientos Þ nancieros; Regularidadesempíricas; Tasa de cambio; índice general de la Bolsa Colombia; volatility clustering; fat tails.;

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G00 - Financial Economics - - General - - - General


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