Medidas alternativas de volatilidad en el mercado de valores peruano
This document seeks to compare the main volatility calculation methodologies for the Peruvian stock market. Three volatility calculation methods are presented, the EWMA model, the GARCH model and the Stochastic Volatility (SV) model. The comparison of these methodologies was carried out through the...
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| Format: | Article |
| Language: | English |
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Universidad de San Martín de Porres
2019-07-01
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| Series: | Revista de Análisis Económico y Financiero |
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| Online Access: | http://contabilidadyeconomiausmp.edu.pe/OJS2020/index.php/RAEF/article/view/17 |