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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Detalles Bibliográficos
Autores principales: Espín Esparza, Emilia, Jácome Gagñay, Renato, Vera Pianda, Pamela
Formato: Artículo revista
Lenguaje:Español
Publicado: Facultad de Ciencias Económicas. Instituto de Economía y Finanzas 2021
Materias:
Ecuador
Guayaquil stock exchange
volatility
ARIMA
olsa de valores de Guayaquil
volatilidad
Acceso en línea:https://revistas.unc.edu.ar/index.php/acteconomica/article/view/28763
Aporte de:
Actualidad Económica de Universidad Nacional de Córdoba
Descripción
Sumario: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.

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