ARCH, GARCH and EGARCH Models: Applications to Financial Series

Cuadernos de Economía, Vol. 27, No. 48, 2008

33 Pages Posted: 27 Aug 2008

See all articles by Marta Casas

Marta Casas

Universidad de los Andes, Colombia - Department of Economics

Edilberto Cepeda

National University of Colombia

Date Written: August, 26 2008

Abstract

This article includes a description of the ARCH, GARCH, and EGARCH models and the estimation of their parameters using maximum likelihood. An alternative model is proposed for the analysis of financial series and used to study price and returns series for Gillette stock. The choice of models using AIC and BIC criteria lead us to conclude that, of the models considered, GARCH (1,2) best explains the performance of stock prices and EGARCH (2,1) best explains the returns series.

Note: Downloadable document is in Spanish.

Keywords: ARCH, GARCH, and EGARCH models, prediction

JEL Classification: C10, C19, C32, G10

Suggested Citation

Casas, Marta and Cepeda, Edilberto, ARCH, GARCH and EGARCH Models: Applications to Financial Series (August, 26 2008). Cuadernos de Economía, Vol. 27, No. 48, 2008. Available at SSRN: https://ssrn.com/abstract=1259248

Marta Casas (Contact Author)

Universidad de los Andes, Colombia - Department of Economics ( email )

Carrera 1a No. 18A-10
Santafe de Bogota, AA4976
Colombia

HOME PAGE: http://www.uniandes.edu.co

Edilberto Cepeda

National University of Colombia ( email )

Colombia

HOME PAGE: http://www.unal.edu.co

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