Sierra, Giuliana Maya; Marin Rodríguez, Nini Johana - In: Revista de Métodos Cuantitativos para la Economía y … 28 (2019), pp. 301-341
levels of uncertainty. The objective of this research is the construction of ARIMA-GARCH and ARIMAX-GARCH models as a tool … dynamic correlation with some of the most explicative variables. The results suggest that the incorporation of significant … exogenous variables within the ARIMAX-GARCH model with persistent correlation according to the DCC (Dinamic Conditional …