Modelo de volatilidad a los precios de cierre de la acción pfcemargos comprendidas entre 16/mayo/2013 al 31/mayo/2017

Christian Cortes García and Álvaro Cangrejo Esquive
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Christian Cortes García: Departamento de matemática y estadistica. Universidad Surcolombiana. Neiva, Colombia
Álvaro Cangrejo Esquive: Departamento de matemática y estadistica. Universidad Surcolombiana. Neiva, Colombia

Cuadernos de Economía - Spanish Journal of Economics and Finance, 2019, vol. 42, issue 119, 119-138

Abstract: In this paper we present a model that explains the volatility of returns in the daily closing prices of the preferred shares of the Colombian cement company Argos S.A, taking as reference historical volatility and the models GARCH, TGARCH, IGARCH, EGARCH and APARCH. Likewise, a contrast with an SVt-AR model (1) is performed to determine the effectiveness of the selected model outside the sample. The model that best explains the conditional volatility of returns and performs price forecasts is the IGARCH (16,16) with some null parameters.

Keywords: Heteroskedasticity; Conditional volatility; ARCH effect; Returns; GED distribution; Bayesian information criteria (search for similar items in EconPapers)
JEL-codes: C32 C51 C52 E32 E44 (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:cud:journl:v:42:y:2019:i:119:p:119-138

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