Modelos autorregresivos para la varianza condicionada heteroscedastica (ARCH)
En el presente trabajo se introduce al lector en los modelos autorregresivos para la varianza condicionada heterocedástica, incidiendo en los problemas que plantean los esquemas más sencillo y sugiriendo diversas soluciones. Se describe el concepto, las hipótesis y los modelos que explican la varianza condicionada en el tiempo desde diversas perspectivas del análisis estadístico: relación lineal o no lineal entre las variables y métodos de estimación de los parámetros. Finalmente, se discuten diversos contrastes que permiten escoger entre diversas especificaciones alternativas. In this paper the Autoregressive Conditional Heteroskedasticity (ARCH) models are introduced to the reader. The problems implied by their different parameterizations are pointed out and the corresponding solutions are suggested. Several statistical perspectives are used to explain the concept, the assumptions and the models that explain the temporal behaviour of the conditional variances. The paper exposed lineal and non-lineal relationships and several methods of estimation of the parameters of the models. Finally, some tests that allow to choose between alternative specifications are described.
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Volume (Year): 2 (1994)
Issue (Month): (Diciembre)
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- Engle, Robert F & Ng, Victor K, 1993. " Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, vol. 48(5), pages 1749-1778, December.
- 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.
- Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Bollerslev, Tim & Engle, Robert F & Wooldridge, Jeffrey M, 1988. "A Capital Asset Pricing Model with Time-Varying Covariances," Journal of Political Economy, University of Chicago Press, vol. 96(1), pages 116-131, February.
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- Nelson, Daniel B., 1992. "Filtering and forecasting with misspecified ARCH models I : Getting the right variance with the wrong model," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 61-90.
- Lamoureux, Christopher G & Lastrapes, William D, 1990. "Persistence in Variance, Structural Change, and the GARCH Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 225-234, April.
- Engle, Robert F. & Granger, C. W. J. & Kraft, Dennis, 1984. "Combining competing forecasts of inflation using a bivariate arch model," Journal of Economic Dynamics and Control, Elsevier, vol. 8(2), pages 151-165, November.
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- Ray Chou & Robert F. Engle & Alex Kane, 1991. "Measuring Risk Aversion From Excess Returns on a Stock Index," NBER Working Papers 3643, National Bureau of Economic Research, Inc. Full references (including those not matched with items on IDEAS)
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