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Evidencia de volatilidad agrupada en el mercado accionario ecuatoriano:aplicación de un modelo Igarch para el índice Ecuindex

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  • Daniele Covri Rivera

    (Pontificia Universidad Católica Argentina)

Abstract

La presente investigación intenta desarrollar una variante del modelo GARCH para el índice del mercado accionario ecuatoriano Ecuindex. Los datos son tomados diariamente y cubren un horizonte temporal de más de 13 años. Debido a que la suma de los parámetros en la ecuación de la varianza resulta ser exactamente 1, por lo tanto, se implementa un modelo IGARCH (1,1). Se desea entonces entender si la volatilidad se presenta agrupada y, en segundo lugar, se desea medir el riesgo del mercado accionario ecuatoriano. Estos resultados pueden ser relevantes para posteriores investigaciones que miren a realizar predicciones mediante instrumentos financieros derivados o también para medir el riesgo de mercado de los portafolios.

Suggested Citation

  • Daniele Covri Rivera, 2017. "Evidencia de volatilidad agrupada en el mercado accionario ecuatoriano:aplicación de un modelo Igarch para el índice Ecuindex," Archivos Revista Economía y Política., Facultad de Ciencias Económicas y Administrativas, Universidad de Cuenca., vol. 25, pages 86-98, Enero.
    • Handle: RePEc:cun:journl:v:25:y:2017:p:86-98
    DOI: 10.25097/rep.n25.2017.05
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