Volatilidad de las acciones de mayor presencia y capitalización bursátil en el Mercado de Valores Ecuatoriano

The current research had as aim to analyze the shares volatility with the greatest presence and market capitalization in the Ecuadorian stock market, through econometric models to determine the same risk and return. The study compiled bibliographic information about financial markets, volatility, time series and autoregressive models. Further, it was provided historical information about the shares daily movements, which make up the stock market and was developed the previous estimates with Eviews software help. It is addressed a quantitative study type that it is got results from yields, which they can provide to investors with a risk certain level, what the first instance, it was analyzed the theoretical reference framework, which allowed to know to depth about the addressed topic . Then, it was performed assets time series an analysis with the highest stock market presence and capitalization from Ecuadorian stock market and the Ecuindex index, by applying the Box-Jenkins methodology, in order to establish the volatility presence in the data. Once, it had been found by the plausibility principle the best models, it was came from to estimate the relationship betas likelihood method by applying the ARCH family models (Conditionally Heteroscedastic Autoregressive Model), to then, to get the CAMP financial model ((Financial Assets Valuation Model), and in this way, it gets the estimated return each the shares with and without volatility, and compare them with the guiding said results purpose to the decision making both investors as issuers.

• Autor principal: Espin Macato, Deysi Geoconda (author)
• Altres autors: Guilcapi Guevara, Jessica Estefanía (author)
• Format: bachelorThesis
• Idioma: spa
• Publicat: 2022
• Matèries: BOX-JENKINS; MODELOS ARCH; SERIES TEMPORALES; VOLATILIDAD; ADMINISTRACIÓN; COMERCIO
• Accés en línia: http://repositorio.utc.edu.ec/handle/27000/9071