Evidence of volatility clustering in the ecuadorian equity market: application of an igarch model for the Ecuindex

Authors

DOI:

https://doi.org/10.25097/rep.n25.2017.05

Keywords:

Ecuindex, Garch, Igarch, Returns, Volatility.

Abstract

The present research tries to develop a variant of the GARCH model for the Ecuadorian index stock market Ecuindex. The data are taken daily and cover a time horizon of more than 13 years. Because the sum of the parameters in the variance equation turns out to be exactly 1, therefore, an IGARCH model (1,1) is implemented. The aim is to understand if volatility is clustered and, secondly, the purpose is to measure the risk of the Ecuadorian stock market. These results may be relevant for further research looking at predictions using financial derivative instruments or for measuring the market risk of portfolios.

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Author Biography

Daniele Covri Rivera, Pontificia Universidad Católica Argentina

Ex docente titular auxiliar a tiempo completo, ahora estudio un doctorado phd en economía

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Published

2018-02-06

How to Cite

Covri Rivera, D. (2018). Evidence of volatility clustering in the ecuadorian equity market: application of an igarch model for the Ecuindex. Economy and Politics Journal, (25), 86–98. https://doi.org/10.25097/rep.n25.2017.05

Issue

No. 25 (2017): enero/junio

Section

Artículos

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