Ingeniería Financiera

Permanent URI for this collectionhttp://repositorio.uta.edu.ec/handle/123456789/3656

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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.
Análisis de volatilidad de precios de las acciones del Banco del Pichincha utilizando el Modelo Arch
(Universidad Técnica de Ambato. Facultad de Contabilidad y Auditoría. Carrera Ingeniería Financiera, 2017-08) Carrillo Ríos, Johanna Lizbeth; DT - Villa Muñoz, Julio César
The main objective of the research is to analyze the stock price volatility to which Pichincha Bank and Ecuindex securities are traded on the Quito Stock Exchange, through the analysis of time series graphs and the A Dickey-Fuller test for parameter estimation, and in this way we obtain a stationary series in order to apply the Box-Jenkins methodology and finally the ARCH model. When we identify the problem that is the low analysis of price volatility of the shares of Pichincha Bank which implies an incorrect valuation of financial assets of variable equity in the Stock Exchange. We start by analyzing the time series of the stock price of Pichincha Bank and Ecuindex from 2005 to March 2017, observing that the time series do not show a variance and average constants or seasonality, the autoregressive model Eliminate the trend by applying the first difference and then return to apply the second difference to each of the series studied. Using Gretl free software, which is an application designed for statistical analysis and estimation of econometric models, we applied the Box-Jenkins methodology and analyzing the results and hypotheses resulted in a model, which after several tests We will select the most optimum, obtaining the ARIMA model and then performing the ARCH test.
El mercado de valores ecuatoriano. Una descripción de su dinámica bursátil, mediante análisis de conglomerados
(2021-11) Morejón Núñez, María Fernanda; DT - Mantilla Falcón, Luis Marcelo
El presente estudio comprende una investigación descriptiva, cuantitativa, no experimental, longitudinal, la misma que acoge una estrategia objetiva, sistemática y rigurosa que busca generar conocimiento de las fundamentales operaciones realizadas durante los años 2016-2020. En dicho estudio se recolectará la evidencia de las ventas de acciones y certificados de aportación, además este modelo cuantificará las relaciones que existe entre las variables: el mercado de valores y la dinamización bursátil mercantil. Adicionalmente, se encuentra los principales entes reguladores, un breve detalle del funcionamiento de la bolsa, se establecen los mecanismos a los cuales recurren las empresas que cotizan en la bolsa, analizando el manejo de la misma, además, se recolectó las ventas mensuales de acciones y certificados de aportación, generando una pequeña reseña histórica de la evolución de la bolsa. Al ser el mercado de valores ecuatoriano un medio competitivo y alternativo para los negocios y el financiamiento empresarial; sin embargo, los resultados reflejaron cual es la empresa que aporta mayormente en la compra de acciones y cuáles son las empresas que en un menor número aportan en dichas transacciones.