Contabilidad y Auditoría
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Item 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 CésarThe 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.