Por favor, use este identificador para citar o enlazar este ítem: http://www.dspace.espol.edu.ec/handle/123456789/4928
Título : Estimación del riesgo sistemático de las acciones del ipecu y aplicación de modelos de heteroscedasticidad condicional autorregresiva
Autor : Hidalgo Andrade, Juan Eduardo
Gonzaga Gonzaga, David
Aguilera Chuchuca, Alex
Tobalina Ditto, Constantino Francisco
Palabras clave : RIESGO SISTEMATICO
MODELOS ARCH
Fecha de publicación : 5-may-2009
Resumen : The objective of this paper is estímate both the asset’s sistematic risk from IPECU and the relation between self returns and market returns measured by the 􀟚 parameter form the classical CAPM model. The origina lestimations was regressed by Ordinary Least Squares giving good outcomes about the 􀟚 significance. Afterwards in order to describe effectively the economic behavior of financial market, we use th Box-Jenkins and Engle’s methodology well kown as Autorregresive Conditional Heteroskedasticity Model, which consists in leaving the homoskedasticity assumption and explain the series’s disturbances based on its lagged and after introduce the estimated disturnaces’s volatitily in the expression that explainthe stock’s returns. In analysis regression we find that companies’s returns could be modelated using an ARCH process being the Cervezería Nacional the company which shows the best results in the risk estimation and the description of the behavior of its returns.The objective of this paper is estímate both the asset’s sistematic risk from IPECU and the relation between self returns and market returns measured by the 􀟚 parameter form the classical CAPM model. The origina lestimations was regressed by Ordinary Least Squares giving good outcomes about the 􀟚 significance. Afterwards in order to describe effectively the economic behavior of financial market, we use th Box-Jenkins and Engle’s methodology well kown as Autorregresive Conditional Heteroskedasticity Model, which consists in leaving the homoskedasticity assumption and explain the series’s disturbances based on its lagged and after introduce the estimated disturnaces’s volatitily in the expression that explainthe stock’s returns. In analysis regression we find that companies’s returns could be modelated using an ARCH process being the Cervezería Nacional the company which shows the best results in the risk estimation and the description of the behavior of its returns.
URI : http://www.dspace.espol.edu.ec/handle/123456789/4928
Aparece en las colecciones: Artículos de Tesis de Grado - FCSH

Ficheros en este ítem:
Fichero Descripción Tamaño Formato  
7751.pdf359.99 kBAdobe PDFVisualizar/Abrir
7751.ps2.41 MBPostscriptVisualizar/Abrir


Los ítems de DSpace están protegidos por copyright, con todos los derechos reservados, a menos que se indique lo contrario.