¿Cómo Implementar un Modelo de Volatilidad Usando Lenguaje R?
DOI:
https://doi.org/10.21501/21454086.832Keywords:
Volatilidad, Modelo, Implementación, GARCH, Lenguaje RAbstract
El modelado y pronóstico de series de tiempo financieras es una actividad de interés económico para los agentes del mercado. Las series de tiempo provenientes de ésta área a menudo presentan relaciones dinámicas complejas entre sus variables las cuales pueden ser capturadas mediante modelos de volatilidad. Estos pueden ser implementados en la mayoría de entornos de programación existentes. Sin embargo, la implementación de los modelos es compleja por no tener pautas para diseñar e implementar su código. Dado que R es un entorno de programación gratuito y estable, en este trabajo se proponen algunas pautas para diseñar e implementar el código de un modelo de volatilidad en R; como caso de ejemplo, se propone la creación del paquete Volatility que incluye el modelo de volatilidad GARCH y se mostrará su aplicabilidad al modelar la volatilidad de una serie de tiempo real.Downloads
Download data is not yet available.
References
Bollerslev, T. (1986). Generalized Autoregressive Conditional Heterocedasticity. Journal of Econometrics , 31 (3 (April)), 307-327.
Casas Monsegny, M., & Cepeda, E. (2008). Modelos ARCH, GARCH y EGARCH: aplicaciones a series financieras. Revista Cuadernos de Economía , 27 (48), 287 - 319.
Engle, R. F. (1982). Autoregressive Conditional Heterocedasticity whit Estimates of the Variance of United Kingdom Inflation. Econometrica , 50 (4), 987-1008.
Development Core Team. (2009). Writing R Extensions. ISBN 3-900051-11-9: Version 2.10.0 (2009-10-26).
Venables, W. N., & Smith, D. M. (2009). An Introduction to R. ISBN 3-900051-12-7 : Version 2.10.0 (2009-10-26).
Downloads
Published
2011-12-16
How to Cite
Villa-Garzón, F., Velásquez-Henao, J. D., & Sánchez, P. A. (2011). ¿Cómo Implementar un Modelo de Volatilidad Usando Lenguaje R?. Lámpsakos, (6), 38–45. https://doi.org/10.21501/21454086.832
Issue
Section
Case report and/or divulgation articles not derivaded of a research
License
In accordance with national and international copyrights, as well as publishing policies of "Fundación Universitaria Luis Amigó" and its Journal "Lámpsakos" (indexed with ISSN : 2145-4086), I (we ) hereby manifest:1. The desire to participate as writers and submit to the rules established by the magazine publishers.
2. The commitment not to withdraw the manuscript until the journal finishes the editing process of the ongoing issue.
3. That article is original and unpublished and has not been nominated or submitted together in another magazine; therefore, the rights of the article in evaluation have not been assigned in advance and they do not weigh any lien or limitation for use.
4. The absence of conflict of interest with commercial institution or association of any kind
5. The incorporation of the quotes and references from other authors, tending to avoid plagiarism. Accordingly, the author affirms that the paper being published do not violate copyright, intellectual property or privacy rights of third parties. Morover, if necessary there is a way of demonstrating the respective permits original copyright to the aspects or elements taken from other documents such as texts of more than 500 words, tables, graphs, among others. In the event of any claim or action by a third party regarding copyright on the article, the author (s) will assume full responsibility and come out in defense of the rights herein assigned. Therefore, for all purposes, the Journal "Lámpsakos" of the "Fundación Universitaria Luis Amigó" acts as a third party in good faith.
6. In the event of the publication of the article, the authors free of charge and on an exclusive basis the integrity of the economic rights and the right to print, reprint and reproduction in any form and medium, without any limitation as to territory is concerned, in favor of the Journal "Lámpsakos" of the "Fundación Universitaria Luis Amigó".
