@article {
    orvium-6329806ef71dea4d7b5ce598,
    title = "APPLICATION OF THE ARCH and MS-ARCH MODELS TO THE IBEX-35 RETURN SERIES",
    abstract = "In the analysis of financial time series, the Autoregressive models with Conditional
Heteroskedasticity (ARCH) and their generalization, the GARCH models, have been
widely used, demonstrating their good qualities for modeling the volatilities typical of this
type of series. As an alternative, Switching Markov models have emerged that allow the
inclusion of random phenomena as possible structural changes in the mean or variance
process. This paper aims to demonstrate the best suitability of these regime-switching
processes for modeling the conditional variance of the IBEX-35 Index returns.",
    keywords = "Conditional volatility, GARCH models, Switching Markov models, Regime, Stock index, Conditional heteroskedasticity.",
    author = "Manuel Rayo Quesada",
    year = "2022",
    language = "English",
    url = "https://dapp.orvium.io/deposits/6329806ef71dea4d7b5ce598/view",
}