Model of volatility at closure prices of the PFCEMARGOS shares between may 16, 2013 to 31 may 2017
DOI:
https://doi.org/10.32826/cude.v42i119.78Keywords:
Heteroskedasticity, conditional volatility, ARCH effect, returns, GED distribution, Bayesian information criteriaAbstract
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.
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2018-11-16
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