IDEAS home Printed from https://ideas.repec.org/a/col/000350/006973.html
   My bibliography  Save this article

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

Author

Listed:
  • Heivar Yesid Rodríguez Pinzón

Abstract

Con este trabajo se quiere presentar el soporte teórico de los modelos ARCH y GARCH propuestos por Engle (1982) y Bollerslev (1986), desarrollando las demostraciones de media y varianza, condicional y no-condicional a partir de los supuestos hechos por Engle (1982) y finalmente se presenta el ajuste de un proceso, que presenta dinámicas ARCH y GARCH.

Suggested Citation

  • Heivar Yesid Rodríguez Pinzón, 2010. "Profundización teórica de modelos de volatilidad ARCH - GARCH y una aplicación al caso colombiano," Revista Comunicaciones en Estadística, Universidad Santo Tomás, May.
    • Handle: RePEc:col:000350:006973
    as

    Download full text from publisher

    File URL: http://www.usta.edu.co/revista_estadistica/index.php?option=com_wrapper&view=wrapper&Itemid=58
    Download Restriction: no
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:col:000350:006973. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Jorge Enrique Martínez Carvajal (email available below). General contact details of provider: https://edirc.repec.org/data/festaco.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.