Volatility modeling in the Peruvian stock market

Authors

  • Carlos Abanto Valle Institute of Mathematics, Federal University of Rio de Janeiro. Rio de Janerio, Brazil.

DOI:

https://doi.org/10.21754/iecos.v4i0.1150

Keywords:

Heteroscedasticity, GARCH, EGARCH, Gibbs algorithm, Metropolis-Hastings algorithm, DIC criterion

Abstract

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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Published

2021-03-19

How to Cite

Abanto Valle, C. (2021). Volatility modeling in the Peruvian stock market. Revista IECOS, 4, 68–80. https://doi.org/10.21754/iecos.v4i0.1150

Issue

Vol. 4 (2007)

Section

Research Articles