SciELO - Scientific Electronic Library Online

 
vol.45 número132Volatility Spillovers between Equity and Currency Markets: Eviderice from Major Latin American CountriesThe Determinants of Relative Price Variability: further evidence from argentina índice de autoresíndice de materiabúsqueda de artículos
Home Pagelista alfabética de revistas  

Cuadernos de economía

versión On-line ISSN 0717-6821

Resumen

ALFARO, Rodrigo A  y  SILVA, Carmen Gloria. Volatilidad de Indices Accionarios: El caso del IPSA. Cuad. econ. [online]. 2008, vol.45, n.132, pp. 217-233. ISSN 0717-6821.  http://dx.doi.org/10.4067/S0717-68212008000200003.

This paper reviews the traditional ways to measure volatility which are based only on closing prices, and introduces alternative measurements that use additional information of prices during the day: opening, minimum, maximum, and closing prices. Using the binomial model, we prove that alternative measurements are more efficient than the traditional ones. An empirical application is performed using daily data of the chilean stock market index IPSA. From the theoretical and empirical results we propose an unbiased and efficient measure of daily volatility for this financial market.

Palabras clave : Volatilidad; Modelo Binomial; GARCH; VIX; Sesgo y Eficiencia.

        · resumen en Español     · texto en Español     · pdf en Español