Resumen

FERNANDEZ CASTANO, Horacio. An application of the EGARCH model to estimate the volatility of financial series. Rev. ing. univ. Medellín [online]. 2010, vol.9, n.17, pp.95-104. ISSN 1692-3324.

This article, which is the second issue, presents an application of asymmetric EGARCH model to study the dynamics of Colombia Stock Exchange General Index (IGBC) and its volatility. In the first issue, there was a brief review of the GARCH model, and its importance in modeling financial time series was shown. Likewise, weaknesses in relation to symmetry property for thick queues distribution which can generate prediction mistakes are identified. Application in which results obtained suggest that EGARCH model can be better for capturing stylized facts of the market behavior of Colombian market. As a consequence, it is meaningful, to evidence the importance of asymmetric models to calculate series volatility.

Palabras clave : EGARCH; asymmetric; volatility; effect of supporting; IGBC.

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