Alta frecuencia, Volatilidad realizada, ARFIMAX, GARCH
Abstract
The objective of this work is t o motivate the use of high frequency data on financial markets by means of the study of realized volatility. In financial analysis and risks management, an important element is the estimation of the volatility. To achieve this it is suggested the use of the realized daily volatility calculated with intraday information and applied to the IPC. We present realized volatility properties and stylized facts as well as an empirical study to contrast them, finding evidence of not normality but of long memory. Lat er we propose an ARFIMAX model to describe and to predict the volatility comparing it with the traditional models GARCH.
