AN APPLICATION TO FORECAST VOLATILITY IN THE LIMA STOCK MARKET
A method is proposed to analyze data generated by a family of stochastic processes called autoregressive conditional heteroscedastic processes (ARCH), which are widely used to predict volatility of financial time series. An ARCE model is used to predict the volatility of the Atacocha mining company...
| Main Authors: | , |
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| Format: | Article |
| Language: | Spanish |
| Published: |
Universidad Nacional Mayor de San Marcos
2014-09-01
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| Series: | Pesquimat |
| Subjects: | |
| Online Access: | http://revistasinvestigacion.unmsm.edu.pe/index.php/matema/article/view/9318 |