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20 años de modelos ARCH: una visión de conjunto de las distintas variantes de la familia/20 Years of Arch Modelling: a Survey of Different Models in the Family

  • DE ARCE BORDA, R.

    ()

    (.Facultad de CC.EE y EE Dpto. Economía Aplicada, Universidad Autónoma de Madrid. Módulo E-XIV Dpcho 304. Universidad Autónoma de Madrid. 28049-Cantoblanco. Madrid. Tfno. (0034) 91 497 4191.)

En los primeros meses de 1982, Robert Engle revolucionaba el estudio de los modelos de volatilidad ampliando al campo de las estructuras cuadráticas las ya muy utilizadas pautas de la metodología Box- Jenkins, creadas en 1976. Desde entonces, se han escrito multitud de aportaciones sobre las distintas potencialidades de estos modelos, que ya se han convertido en herramienta cotidiana entre los interesados en modelizar comportamientos basados en la estructura. Algunos “surveys” sobre el tema refieren cientos de aplicaciones sobre este tipo de modelos incluidos en las más prestigiosas revistas académicas nacionales e internacionales. El presente artículo pretende hacer un breve repaso sobre los principales variantes técnicas formuladas sobre el modelo seminal de Robert Engle, haciéndose un breve recorrido histórico de sus principales especificaciones y principales puntos de preocupación a lo largo del tiempo. En él se refieren algunas conclusiones sobre la metodología ARCH y su empleo en general. In the early eighty’s, Robert Engle shocked the field of Volatility Studies enlarging the domain of Quadratic Structures to a similar context of the Box Jenkins Methodology (1976). Several articles and working papers have been inspired in different possibilities using these sort of models that, nowadays, can be considered as a familiar analytical tool for financial operators and researchers in the field of Econometrics and quantitative financial analysis in general. Several surveys in this issue documents hundred of applications in economics studies in the most prestigious academic journals. This paper attempts to analyse the different technical performances of this sort of Econometrical Models through its History: more than twenty years; offering a comprehensive evolution and pointing out the differences in their specifications and in technical frames. Finally some personal considerations of ARCH empirical application and methodology in Applied Economics, are exposed.

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Article provided by Estudios de Economía Aplicada in its journal Estudios de Economía Aplicada.

Volume (Year): 22 (2004)
Issue (Month): (Abril)
Pages: 27

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Handle: RePEc:lrk:eeaart:22_1_10
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  1. Robert F. Engle & Victor K. Ng, 1991. "Measuring and Testing the Impact of News on Volatility," NBER Working Papers 3681, National Bureau of Economic Research, Inc.
  2. Thomas H. McCurdy & Thansis Stengos, 1991. "A Comparison of Risk-Premium Forecasts implied by Parametric versus Nonparametric Conditional Mean Estimators," Working Papers 843, Queen's University, Department of Economics.
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