Medidas alternativas de volatilidad en el mercado de valores peruano

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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Bibliographic Details
Main Author:	Rafael Nivin Valdiviezo
Format:	Article
Language:	English
Published:	Universidad de San Martín de Porres 2019-07-01
Series:	Revista de Análisis Económico y Financiero
Subjects:	stochastic volatility value at risk trading strategy
Online Access:	http://contabilidadyeconomiausmp.edu.pe/OJS2020/index.php/RAEF/article/view/17

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