Analyzing the Selective Stock Price Index Using Fractionally Integrated and Heteroskedastic Models

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018-Analyzing the Selective.pdf (934.77 KB)

Date

2024-09-07

Document type

journal article

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Investigación
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Authors

Contreras-Reyes, Javier E., Zavala, Joaquín E., Idrovo-Aguirre, Byron J.

Publisher

MDPI AG

URI

https://repositorio.udla.cl/handle/udla/1753

DOI

https://doi.org/10.3390/jrfm17090401

Keywords

ARFIMA model, FIGARCH model, GARCH model, long memory, selective stock price, stock markets, volatility

Citation

Journal of Risk and Financial Management, 17(9), 401. https://doi.org/10.3390/jrfm17090401

Abstract

Stock market indices are important tools to measure and compare stock market performance. The Selective Stock Price (SSP) index reflects fluctuations in a set value of financial instruments of Santiag...

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Creative Commons Attribution 4.0 International
Except where otherwised noted, this item's license is described as Creative Commons Attribution 4.0 International
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