Volatilidad de Indices Accionarios: El Caso Del IPSA. - Cuadernos de Economia: Latin American journal of economics

Volatilidad de Indices Accionarios: El Caso Del IPSA.

By Cuadernos de Economia: Latin American journal of economics

  • Release Date - Published: 2008-11-01
  • Book Genre: Finance
  • Author: Cuadernos de Economia: Latin American journal of economics
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Volatilidad de Indices Accionarios: El Caso Del IPSA. Cuadernos de Economia: Latin American journal of economics read online review & book description:

Este documento revisa las formas tradicionales de medir la volatilidad bursatil --basadas en precios de cierre-- e introduce medidas alternativas sugeridas por Parkinson (1980), Garman y Klass (1980) y Rogers y Satchell (1991). Estas medidas usan informacion adicional de precios durante el dia y por ello son mas eficientes que las medidas tradicionales. Esta propiedad se considera relevante, especialmente para periodos de turbulencias financieras, ocasiones en las que las medidas tradicionales suelen fallar. Asimismo, incluimos una aplicacion empirica para el mercado accionario chileno, que confirma los resultados teoricos, y proponemos un indice de volatilidad basado en precios maximos y minimos observados durante un dia de transacciones. This paper reviews the traditional ways to measure volatility which ate based only on closing prices, and introduces alternative measurements that use additional information of prices during the day: opening, minimum, maximum, and closing prices. Using the binomial model, we prove that alternative measurements are more efficient than the traditional ones. An empirical application is performed using daily data of the chilean stock market index IPSA. From the theoretical and empirical results we propose ah unbiased and efficient measure of daily volatility for this financial market.

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