Profundización teórica de modelos de volatilidad ARCH - GARCH y una aplicación al caso colombiano
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...
- Autores:
-
Rodríguez Pinzón, Heivar Yesid
- Tipo de recurso:
- Fecha de publicación:
- 2009
- Institución:
- Universidad Santo Tomás
- Repositorio:
- Universidad Santo Tomás
- Idioma:
- spa
- OAI Identifier:
- oai:repository.usta.edu.co:11634/39546
- Acceso en línea:
- https://revistas.usantotomas.edu.co/index.php/estadistica/article/view/36
http://hdl.handle.net/11634/39546
- Palabra clave:
- Modelos ARCH
modelos GARCH
volatilidad
inflación
- Rights
- License
- http://purl.org/coar/access_right/c_abf2
| Summary: | 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. |
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