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Análisis comparativo de modelos para estimar la distribución de la volatilidad de series financieras de rendimientos
[A Comparative Analysis of Models for Estimating the Volatility Distribution of Financial Returns Series]

Author

Listed:
  • Grajales Correa, Carlos Alexander
  • Pérez Ramírez, Fredy Ocaris
  • Venegas-Martínez, Francisco

Abstract

Spanish Abstract: En este trabajo se presenta un marco teórico que conjunta y ordena sistemáticamente, en cuanto a complejidad y realismo, varios modelos disponibles en la literatura especializada para estimar la distribución de la volatilidad de los rendimientos diarios de índices bursátiles. Para tal fin se consideran los modelos discretos ARCH y algunas de sus extensiones, así como los modelos de difusión en tiempo continuo. En el caso discreto, los modelos estiman la volatilidad por medio de la heteroscedasticidad condicional. Mientras que en el caso continuo, los modelos estiman la distribución de la volatilidad a través de procesos estocásticos de difusión, en cuyo caso se utiliza simulación Monte Carlo. Por último se comparan los resultados obtenidos con las diferentes metodologías para los índices bursátiles: S&P 500 de EEUU, Índice de Precios y Cotizaciones de la Bolsa Mexicana de Valores (IPC) e Índice General de la Bolsa de Valores de Colombia (IGBC). English Abstract: This aim of this paper is to present a theoretical framework that systematically joint and ordered, according to realism and complexity, several available models in the specialized literature useful to estimate the volatility distribution of stock indices. To this end, discrete ARCH models and some of its extensions, as well as continuous time diffusion models are considered. In the discrete case, the models estimate volatility from the conditional heteroscedasticity. Meanwhile, in the continuous case, the models estimate the volatility distribution through diffusion stochastic processes, which allows using Monte Carlo simulation. Finally, the obtained results from the different methodologies are compared for the capital stock indices: S &P 500 of the U. S. A. , Index of Prices of the Mexican Stock Market (IPC), and the General Index of Prices of the Colombian Stock Market (IGBC).

Suggested Citation

  • Grajales Correa, Carlos Alexander & Pérez Ramírez, Fredy Ocaris & Venegas-Martínez, Francisco, 2014. "Análisis comparativo de modelos para estimar la distribución de la volatilidad de series financieras de rendimientos
    [A Comparative Analysis of Models for Estimating the Volatility Distribution of
    ," MPRA Paper 54845, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:54845
    as

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    File URL: https://mpra.ub.uni-muenchen.de/54845/1/MPRA_paper_54845.pdf
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    References listed on IDEAS

    as
    1. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
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    More about this item

    Keywords

    Volatilidad estocástica; heteroscedasticidad condicional; procesos de difusión; simulación Monte Carlo;

    JEL classification:

    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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