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Modelo de volatilidad a los precios de cierre de la acción pfcemargos comprendidas entre 16/mayo/2013 al 31/mayo/2017

Author

Listed:
  • Christian Cortes García

    (Departamento de matemática y estadistica. Universidad Surcolombiana. Neiva, Colombia)

  • Álvaro Cangrejo Esquive

    (Departamento de matemática y estadistica. Universidad Surcolombiana. Neiva, Colombia)

Abstract

In this paper we present a model that explains the volatility of returns in the daily closing prices of the preferred shares of the Colombian cement company Argos S.A, taking as reference historical volatility and the models GARCH, TGARCH, IGARCH, EGARCH and APARCH. Likewise, a contrast with an SVt-AR model (1) is performed to determine the effectiveness of the selected model outside the sample. The model that best explains the conditional volatility of returns and performs price forecasts is the IGARCH (16,16) with some null parameters.

Suggested Citation

  • Christian Cortes García & Álvaro Cangrejo Esquive, 2019. "Modelo de volatilidad a los precios de cierre de la acción pfcemargos comprendidas entre 16/mayo/2013 al 31/mayo/2017," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, vol. 42(119), pages 119-138, Mayo.
    • Handle: RePEc:cud:journl:v:42:y:2019:i:119:p:119-138
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    More about this item

    Keywords

    Heteroskedasticity; Conditional volatility; ARCH effect; Returns; GED distribution; Bayesian information criteria;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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