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...
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Formato: | Artículo (Article) |
Lenguaje: | Español (Spanish) |
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Universidad Santo Tomás
2009
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Acceso en línea: | http://hdl.handle.net/11634/24815 |