Lorenzo-Valdes, Arturo; Ruiz-Porras, Antonio - Volkswirtschaftliche Fakultät, … - 2011
We develop a comparative study using the TARCH and EGARCH non-linear econometric models. We use them to describe Mexican stock market returns. We model daily series of returns for 30 stocks and the Stock Market Index (IPC) for the period between December 7, 2005 and August 1, 2011. Most of the...
