摘要：Using data for the peso-dollar exchange rate and the Colombian stock exchange index we illustrate four well-known stylized facts of the financial time series. These facts are: i) prices follow a random walk process, ii) returns exhibit a leptokurtic distribution with fat tails, iii) as the time scale over which returns are calculated is increased, their distribution tends to "look like" a normal one (Aggregational Gaussianity), and iv) returns presents volatility clustering.
其他摘要：Using data for the peso-dollar exchange rate and the Colombian stock exchange index we illustrate four well-known stylized facts of the financial time series. These facts are: i) prices follow a random walk process, ii) returns exhibit a leptokurtic distribution with fat tails, iii) as the time scale over which returns are calculated is increased, their distribution tends to "look like" a normal one (Aggregational Gaussianity), and iv) returns presents volatility clustering.
关键词：Asset Returns;Stylized Facts;Exchange Rate;IGBC;Volatility Clustering;Fat Tails;RENDIMIENTOS FINANCIEROS;TASA DE CAMBIO;BOLSA DE VALORES
