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Volatilidad de Indices Accionarios: El caso del IPSA

Rodrigo Alfaro () and Carmen Gloria Silva

Latin American Journal of Economics-formerly Cuadernos de Economía, 2008, vol. 45, issue 132, 217-233

Abstract: This paper reviews the traditional ways to measure volatility which are based only on closing prices, and introduces alternative measurements that use additional information of prices during the day: opening, minimum, maximum, and closing prices. Using th

Keywords: Volatilidad; modelo binomial; GARCH; VIX; sesgo y eficiencia (search for similar items in EconPapers)
JEL-codes: C22 G11 G12 (search for similar items in EconPapers)
Date: 2008
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Latin American Journal of Economics-formerly Cuadernos de Economía is currently edited by Raimundo Soto

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