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Cómo citar
Montenegro , R. (2010). Medición de la volatilidad en series de tiempo financieras : una evaluación a la tasa de cambio representativa del mercado (TRM) en Colombia. Revista Finanzas y Política Económica, 2(1), 125-132. Recuperado a partir de https://revfinypolecon.ucatolica.edu.co/article/view/547

Resumen

Existen diferentes métodos para la medición del agrupamiento de la volatilidad en las series financieras, en las cuales el supuesto sobre la distribución del error determina la estructura de la función de log verosimilitud. En este documento se explota la flexibilidad de los modelos ARCH para capturar los agrupamientos de la volatilidad de la Tasa Representativa del Mercado TRM colombiana. Los resultados indican que el modelo MA (1) en media y el modelo GARCH (1, 1) en varianza superan otro tipo de especificación, que trate de medir el agrupamiento de la volatilidad de la TRM colombiana.

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Derechos de autor 2010 Roberto Montenegro

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Esta obra está bajo licencia internacional Creative Commons Reconocimiento-NoComercial-CompartirIgual 4.0.

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