BVG Index Risk and Return: Econometric Analysis and Projection

The objective of this research is to analyze the behavior of the returns and the volatility of the BVG Index for the period 2012-2017. Through an ARIMA model, it is to predict the monthly returns of the BVG Index for the year 2018. The methodology that this study is not experimental. To determine th...

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Bibliographic Details
Main Authors: Espín Esparza, Emilia, Jácome Gagñay, Renato, Vera Pianda, Pamela
Format: Online
Language:spa
Published: Facultad de Ciencias Económicas. Instituto de Economía y Finanzas 2021
Subjects:
Online Access:https://revistas.unc.edu.ar/index.php/acteconomica/article/view/28763
Description
Summary:The objective of this research is to analyze the behavior of the returns and the volatility of the BVG Index for the period 2012-2017. Through an ARIMA model, it is to predict the monthly returns of the BVG Index for the year 2018. The methodology that this study is not experimental. To determine the ARIMA model, the time series in the study is done in the Gretl software, the model predicts the behavior of BVG Index for the 2018, and it shows a volatility behavior for the index.