IDEAS home Printed from https://ideas.repec.org/a/imx/journl/v3y2004i4p333-341.html
   My bibliography  Save this article

Estudio De La Volatilidad Realizada Aplicado Al Índice De Precios Y Cotizaciones De México

Author

Listed:
  • Arturo Lorenzo Valdés

    (Tecnológico de Monterrey, Campus Ciudad de México)

Abstract

El objetivo de este trabajo es motivar el uso de datos de alta frecuencia en los mercados financieros mediante el estudio de la volatilidad realizada. En los análisis financieros y la administración de riesgos, un elemento importante es la estimación de la volatilidad. Para lo anterior se sugiere el uso de la volatilidad realizada diaria calculada con datos intradía y aplicada al IPC. Se presentan sus propiedades y hechos estilizados así como un estudio empírico para contrastarlos, en el que se encuentra evidencia de no normalidad pero si de memoria larga. Posteriormente se propone un modelo ARFIMAX para describir y predecir la volatilidad comparándolo con los modelos GARCH tradicionales.

Suggested Citation

  • Arturo Lorenzo Valdés, 2004. "Estudio De La Volatilidad Realizada Aplicado Al Índice De Precios Y Cotizaciones De México," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 3(4), pages 333-341, Diciembre.
    • Handle: RePEc:imx:journl:v:3:y:2004:i:4:p:333-341
    as

    Download full text from publisher

    File URL: http://www.remef.org.mx/index.php/primera/article/view/173
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Alta frecuencia ; Volatilidad realizada; ARFIMA X ; GARCH;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:imx:journl:v:3:y:2004:i:4:p:333-341. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ricardo Mendoza (email available below). General contact details of provider: https://www.remef.org.mx/index.php/remef/index .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.