Volatility modeling in the Peruvian stock market
DOI:
https://doi.org/10.21754/iecos.v4i0.1150Keywords:
Heteroscedasticity, GARCH, EGARCH, Gibbs algorithm, Metropolis-Hastings algorithm, DIC criterionAbstract
This article begins with an introduction to the literature on time-varying volatility models and briefly addresses the Bayesian implementation of the ARCH/GARCH/EGARCH class of models. Likewise, an application using the return series of the Return Index of the Lima Stock Exchange (IBVL) is presented and, finally, different specifications of the GARCH/EGARCH class of models are compared using the DIC criterion.
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Copyright (c) 2007 Carlos Abanto Valle
This work is licensed under a Creative Commons Attribution 4.0 International License.
CC BY 4.0 DEED Attribution 4.0 International
