Deepening the theorical volatility models ARCH - GARCH and an application to the Colombian case
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...
| Autor Principal: | Rodríguez Pinzón, Heivar Yesid; Docente. Facultad de estadística. Universidad Santo Tomás. |
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| Formato: | info:eu-repo/semantics/article |
| Idioma: | spa |
| Publicado: |
Universidad Santo Tomás
2009
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| Materias: | |
| Acceso en línea: |
http://revistas.usta.edu.co/index.php/estadistica/article/view/36 |
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| Sumario: |
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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