This article presents an intervention methodology to neutralize fluctuations not asocciated to Fundamentals. The mechanism is based on conditional heteroskedastidity model GARCH(1,1) for the nominal exchange rate, combined whit the at Risk concept. The simulation provides the authority with a...

This paper analyzes stock market volatility in thirty nine developed and developing countries over a daily simple starting in January 1990 to October 2002, considering conditional autoregressive heteroskedasticity symmetric and asymmetric models such as GARCH, TGRARCH and Exponential models. We...

The artificial neural networks (ANN) have turned into an important tool to shape and to predict the stock returns. Due to the fact that those models incorporate nonlinear variables (characteristic of the majority of the economic and financial series) they work better than the statistical...