Published
2009-08-28

Profundización teórica de modelos de volatilidad ARCH - GARCH y una aplicación al caso colombiano

Deepening the theorical volatility models ARCH - GARCH and an application to the Colombian case

DOI: https://doi.org/10.15332/s2027-3355.2009.0002.03
Heivar Yesid Rodríguez Pinzón
Docente. Facultad de estadística. Universidad Santo Tomás.
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Abstract (en)

ThisworkpresentsthetheoreticalsupportofARCHandGARCHmodelsproposed by Engle (1982) and Bollerslev (1986), developing the demonstrations of mean and variance, conditional and non-conditional based in the assumptions made by Engle (1982) and finally it presents an adjustment process, which presents the dynamic proper of ARCH and GARCH models.
Keywords (en): Modelos ARCH, modelos GARCH, volatilidad, inflación

Abstract (es)

Con este trabajo se quiere presentar el soporte teórico de los modelos ARCH y GARCH propuestos por Eng82 y Boll86, desarrollando las demostraciones de media y varianza, condicional y no-condicional a partir de los supuestos hechos por Eng82 y finalmente se presenta el ajuste de un proceso, que presenta dinámicas ARCH y GARCH.
Keywords (es): Modelos ARCH, modelos GARCH, volatilidad, inflación

References

Anderson, T. W. (1958), An Introduction to Multivariate Statistical Analysis, JhonWiley and Sons.

Bollerslev, T. (1986), `Generalizad autorregresive condicional heterocedasticity.', Journal of Econometrics31, 307-327.

Box, G. & Jenkins, G. (1976), Introduction to Time Series, Prentice Hall.

Engle, R. F. (1982), `Autorregresive conditional heterocedasticity with estimatesof the variance of the united kingdom inflation', Econométrica 50, 987-1007

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How to Cite

Rodríguez Pinzón, H. Y. (2009). Deepening the theorical volatility models ARCH - GARCH and an application to the Colombian case. Comunicaciones En Estadística, 2(2), 147-167. https://doi.org/10.15332/s2027-3355.2009.0002.03

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