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Estimating Volatility Returns Using ARCH Models. An Empirical Case: The Spanish Energy Market

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  • Ricardo Alverola

    (University of Alicante (Spain))

Abstract

This paper analyzes the most common regularities of daily stock returns time series in the Spanish Energy Market from an empirical point of view. As they are a powerful tool, we fit a selection of developments of Autoregressive Conditional Heteroscedastic (ARCH) processes to the series in order to model their volatility. The paper finds that just two series have a significant and different relationship between the expected conditional stock return and its own conditional variance: Enagas (negative) and Cepsa (positive). It also finds that the electric market has been the most volatile market during the period under analysis.

Suggested Citation

  • Ricardo Alverola, 2007. "Estimating Volatility Returns Using ARCH Models. An Empirical Case: The Spanish Energy Market," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 66, pages 251-276, Enero-Jun.
    • Handle: RePEc:lde:journl:y:2007:i:66:p:251-276
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    References listed on IDEAS

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    More about this item

    Keywords

    financial series; stock; return; risk; volatility; ARCH model; structural change points;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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