Memoria larga de la volatilidad de los rendimientos del mercado mexicano de capitales
Palabras clave:
volatilidad de memoria larga, GARCH, integrados fraccionariamente, modelado de series financierasResumen
El presente trabajo proporciona un análisis sobre la volatilidad de memoria larga de los rendimientos del principal indicador del Índice de Precios y Cotizaciones (ipc) de la Bolsa Mexicana de Valores. Mediante varias pruebas semiparamétricas se examina la existencia de memoria larga en la volatilidad de los rendimientos del ipc. La evidencia empírica, con base en parametrizaciones del tipo arfi-garch, sugiere la existencia de volatilidad de memoria larga.
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