Comments about the Paper Estimating and Forecasting the Volatility of Brazilian Finance Series Using ARCH Models
نویسنده
چکیده
Our comments will be divided in two parts. The first one some general comments about some of the results of this paper and the second part a comparison with the results of Valls Pereira et alii (1999) 1 will be make. The first point that we will like to make is about the was Prof. Issler treat the "missing data" of some of these series. In order to have equally spaced data, he complete the data using the most recent quote. This procedure preserves the spacing of the data but do introduces inliers in the series. For instance, suppose that the observed prices series is
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