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...
| Main Authors: | , , |
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| Format: | Online |
| Language: | spa |
| Published: |
Facultad de Ciencias Económicas. Instituto de Economía y Finanzas
2021
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| Subjects: | |
| Online Access: | https://revistas.unc.edu.ar/index.php/acteconomica/article/view/28763 |
| _version_ | 1838319852784189440 |
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| author | Espín Esparza, Emilia Jácome Gagñay, Renato Vera Pianda, Pamela |
| author_facet | Espín Esparza, Emilia Jácome Gagñay, Renato Vera Pianda, Pamela |
| author_sort | Espín Esparza, Emilia |
| collection | Portal de Revistas |
| description | 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. |
| format | Online |
| id | oai:ojs.revistas.unc.edu.ar:article-28763 |
| institution | Universidad Nacional de Cordoba |
| language | spa |
| publishDate | 2021 |
| publisher | Facultad de Ciencias Económicas. Instituto de Economía y Finanzas |
| record_format | ojs |
| spelling | oai:ojs.revistas.unc.edu.ar:article-287632022-08-22T02:54:44Z BVG Index Risk and Return: Econometric Analysis and Projection Riesgo y Rendimiento del BVG Index: Análisis y Proyección Econométrica Espín Esparza, Emilia Jácome Gagñay, Renato Vera Pianda, Pamela Ecuador Guayaquil stock exchange volatility ARIMA Ecuador olsa de valores de Guayaquil volatilidad ARIMA 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. El objetivo de esta investigación es analizar el comportamiento del rendimiento y volatilidad del BVG Index comprendido durante el periodo 2012-2017. A través de un modelo ARIMA se trata de predecir los rendimientos mensuales del BVG Index para el año 2018. La metodología que se utilizó en este estudio es no experimental. Para determinar el modelo ARIMA de la serie de tiempo del estudio se utilizó el software Gretl. El modelo identificado permite predecir el comportamiento del índice BVG para el año 2018, el mismo que evidencia un comportamiento volátil para el índice. Facultad de Ciencias Económicas. Instituto de Economía y Finanzas 2021-05-12 info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion Articles Artículos application/pdf https://revistas.unc.edu.ar/index.php/acteconomica/article/view/28763 Actualidad Económica; Vol. 30 No. 100 (2020): January-April; 79-88 Actualidad Económica; Vol. 30 Núm. 100 (2020): Enero-Abril; 79-88 2250-754X 0327-585X spa https://revistas.unc.edu.ar/index.php/acteconomica/article/view/28763/29735 https://creativecommons.org/licenses/by-nc-nd/4.0 |
| spellingShingle | Ecuador Guayaquil stock exchange volatility ARIMA Ecuador olsa de valores de Guayaquil volatilidad ARIMA Espín Esparza, Emilia Jácome Gagñay, Renato Vera Pianda, Pamela BVG Index Risk and Return: Econometric Analysis and Projection |
| title | BVG Index Risk and Return: Econometric Analysis and Projection |
| title_alt | Riesgo y Rendimiento del BVG Index: Análisis y Proyección Econométrica |
| title_full | BVG Index Risk and Return: Econometric Analysis and Projection |
| title_fullStr | BVG Index Risk and Return: Econometric Analysis and Projection |
| title_full_unstemmed | BVG Index Risk and Return: Econometric Analysis and Projection |
| title_short | BVG Index Risk and Return: Econometric Analysis and Projection |
| title_sort | bvg index risk and return econometric analysis and projection |
| topic | Ecuador Guayaquil stock exchange volatility ARIMA Ecuador olsa de valores de Guayaquil volatilidad ARIMA |
| topic_facet | Ecuador Guayaquil stock exchange volatility ARIMA Ecuador olsa de valores de Guayaquil volatilidad ARIMA |
| url | https://revistas.unc.edu.ar/index.php/acteconomica/article/view/28763 |
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