A continuous model and a discrete model for estimating the stochastic volatility probability density of financial series yields [Modelos discretos y continuos para estimar la densidad de probabilidad de la volatilidad estocástica de los rendimientos de series financieras]

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dc.contributorUniversidad de Medellín, Medellín, Colombia
dc.creatorGrajales Correa C.A.
dc.creatorPerez Ramirez F.O.
dc.date2015-10-09T13:18:29Z
dc.date2015-10-09T13:18:29Z
dc.date2008
dc.date.accessioned2023-11-21T14:15:53Z
dc.date.available2023-11-21T14:15:53Z
dc.descriptionThis article considers the daily yield of a financial asset for the purpose of modeling and comparing its stochastic volatility probability density. To do so, ARCH models and their extensions in discrete time are proposed as well as the empirical stochastic volatility mo-del developed by Paul Wilmott. For the discrete case, the models that enable estimating the conditional heterocedastic volatility in an instant t of time, t∈[1,T] are shown. For the continuous case, an Itô dissemination process is associated with the stochastic volatility of the financial series; that enables making said process discrete and simulating it, to obtain empirical volatility probability densities. Finally, the results are illustrated and compared to the methodologies discussed in the case of the financial series United Status S&P 500, the Mexican Stock Exchange Price and Quote Index (IPC is the Mexican acronym), and the Colombian Stock Exchange General Index (IGBC is the Colombian acronym).
dc.formatapplication/pdf
dc.identifier1203592
dc.identifierhttp://hdl.handle.net/11407/1419
dc.identifier.urihttp://repository-salesiana.heoq.net/handle/123456789/232059
dc.languagespa
dc.relationhttp://www.scopus.com/inward/record.url?eid=2-s2.0-77149136111&partnerID=40&md5=102ab9217e6cd6a27e1b4ee9cfdaf6d1
dc.relationCuadernos de Administracion, julio/diciembre 2008, volume 21, issue 36, pp 113-132
dc.rightsinfo:eu-repo/semantics/restrictedAccess
dc.rightsinfo:eu-repo/semantics/restrictedAccess
dc.sourceScopus
dc.subjectARCH
dc.subjectHeterocedasticity
dc.subjectItô dissemination processes
dc.subjectProbability density function
dc.subjectSimulation
dc.subjectVolatility
dc.titleA continuous model and a discrete model for estimating the stochastic volatility probability density of financial series yields [Modelos discretos y continuos para estimar la densidad de probabilidad de la volatilidad estocástica de los rendimientos de series financieras]
dc.typeArticle
dc.typeinfo:eu-repo/semantics/article
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