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Riesgo y Rendimiento del BVG Index: Análisis y Proyección Econométrica

Author

Listed:
  • Emilia Espín Esparza

    (Facultad de Economía Agrícola de la Universidad Agraria del Ecuador (Ecuador))

  • Renato Jácome Gagñay

    (Facultad de Economía Agrícola de la Universidad Agraria del Ecuador (Ecuador))

  • Pamela Vera Pianda

    (Facultad de Economía Agrícola de la Universidad Agraria del Ecuador (Ecuador))

Abstract

El objetivo de esta investigación es analizar el comportamiento del rendimiento y volatilidad del BVG Index comprendido durante el periodo 2012-2017. A través de un modelo ARIMA se trata de predecir los rendimientos mensuales del BVG Index para el año 2018. La metodología que se utilizó en este estudio es no experimental. Para determinar el modelo ARIMA de la serie de tiempo del estudio se utilizó el software Gretl. El modelo identificado permite predecir el comportamiento del índice BVG para el año 2018, el mismo que evidencia un comportamiento volátil para el índice./ The objective of this research is to analyze the behavior of the returns and the volatility of the BVG Index for the period 2012-2017. Through an ARIMA model, it is to predict the monthly returns of the BVG Index for the year 2018. The methodology that this study is not experimental. To determine the ARIMA model, the time series in the study is done in the Gretl software, the model predicts the behavior of BVG Index for the 2018, and it shows a volatility behavior for the index.

Suggested Citation

  • Emilia Espín Esparza & Renato Jácome Gagñay & Pamela Vera Pianda, 2020. "Riesgo y Rendimiento del BVG Index: Análisis y Proyección Econométrica," Revista Actualidad Económica, Universidad Nacional de Córdoba, Facultad de Ciencias Económicas, Instituto de Economía y Finanzas, vol. 30(100), pages 79-88, Ene-Abr.
    • Handle: RePEc:ief:revaec:v:30:y:2020:i:100:p:79-88
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    File URL: https://revistas.unc.edu.ar/index.php/acteconomica/article/view/28763/29735
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    More about this item

    Keywords

    Ecuador; bolsa de valores de Guayaquil; volatilidad; ARIMA;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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