Browsing by Author "Romero Tapia, Estefany Pamela"

Filter results by typing the first few letters
Now showing 1 - 1 of 1
  • No Thumbnail Available
    Item
    Análisis de volatilidad de los precios de las acciones Holcim S.A. utilizando el modelo GARCH
    (Universidad Técnica de Ambato. Facultad de Contabilidad y Auditoría. Carrera Ingeniería Financiera, 2017-08) Romero Tapia, Estefany Pamela; DT - Villa Muñoz, Julio César
    The present research work has the fundamental purpose of answering the problem: Is the GARCH model an efficient model for the analysis of the volatility of the company Holcim S.A., This question is a consequence of the volatility in the time series. Volatility is used to assess the risk of a financial asset. Risk has been present throughout history and has led to major financial crises that had repercussions not only on the economic aspect but also on the social aspect. This has encouraged the study of risk to achieve better management in companies. The research compiled bibliographic information on financial markets, volatility, time series and autoregressive models. It also shows historical information on Holcim stock prices and the Ecuindex indicator which is an indicator used to observe the daily variations of stocks quoted at a national level and is composed of a basket of the ten most representative emitters of the country as This is Holcim. First we analyzed the characteristics of the time series Holcim and Ecuindex and observing that no son parkings were eliminated the tendency with the differences for the power reached to model the series. With the help of an economic computer package The result obtained the results, the ARIMA model was applied using the BOX JENKINS methodology, which allows to make a historical and future analysis through the projections and second the GARCH model, which allow to analyze the volatility. The models met the parameters established to be accepted and the criteria as the efficient models.