Show simple item record

dc.contributor.advisorRodríguez Briones, Gabriel Hender
dc.contributor.authorFernández Prada Saucedo, Jean Pierre
dc.date.accessioned2021-03-10T15:06:49Z
dc.date.available2021-03-10T15:06:49Z
dc.date.created2020
dc.date.issued2021-03-10
dc.identifier.urihttp://hdl.handle.net/20.500.12404/18545
dc.description.abstractSeven GARCH and stochastic volatility (SV) models are compared to model empirically the volatility of returns on four commodities relevant for South America economies: gold, copper, oil, and natural gas. Our results show that SV models outperform GARCH models on average. We find that the best-performing return volatility models are: GARCH-t for gold, SV-t for copper and oil, and SV with leverage effects (SV-L) for natural gas. The inclusion of fat tails and jumps components largely raise the performance of GARCH models, while this contribution is less for SV models. Even, SV models with jumps are usually outperformed by the basic SV model. We also find evidence of a leverage effect in oil and copper, resulting from their dependence on world economic activity; and of an inverse leverage effect in gold and natural gas, consistent with the former's role as safe asset and with uncertainty about the latter's future supply. Additionally, in most cases there is no evidence of an impact of volatility on the mean or MA-type first order autocorrelation.es_ES
dc.language.isoenges_ES
dc.publisherPontificia Universidad Católica del Perúes_ES
dc.rightsinfo:eu-repo/semantics/openAccesses_ES
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/2.5/pe/*
dc.subjectPrecios--Modelos econométricoses_ES
dc.subjectInversiones--Modelos matemáticoses_ES
dc.subjectProductos básicos--Precios--Modelos econométricoses_ES
dc.subjectAcciones (Bolsa)--Modelos econométricoses_ES
dc.titleModeling the volatility of returns on commodities: an application and empirical comparison of GARCH and SV modelses_ES
dc.typeinfo:eu-repo/semantics/bachelorThesises_ES
thesis.degree.nameLicenciado en Economíaes_ES
thesis.degree.levelTítulo Profesionales_ES
thesis.degree.grantorPontificia Universidad Catolica del Peru. Facultad de Ciencias Socialeses_ES
thesis.degree.disciplineEconomíaes_ES
renati.advisor.dni08026677
renati.advisor.orcidhttps://orcid.org/0000-0003-1174-9642es_ES
renati.author.dni72185450
renati.discipline421016es_ES
renati.jurorPerez Forero, Fernando Josees_ES
renati.jurorCastillo Bardalez, Paul Gonzaloes_ES
renati.jurorRodriguez Briones, Gabriel Henderes_ES
renati.levelhttps://purl.org/pe-repo/renati/level#tituloProfesionales_ES
renati.typehttp://purl.org/pe-repo/renati/type#tesises_ES
dc.publisher.countryPEes_ES
dc.subject.ocdehttp://purl.org/pe-repo/ocde/ford#5.02.01es_ES


Files in this item

Thumbnail
Thumbnail

This item appears in the following Collection(s)

Show simple item record

info:eu-repo/semantics/openAccess
Except where otherwise noted, this item's license is described as info:eu-repo/semantics/openAccess