Mercados financieros y volatilidad en el precio de materias primas, una perspectiva con modelos de series temporales

Abstract

Commodities are essential products in international production chains, and their commercialization represents one of the largest and most volatile markets in the world. This paper analyzes the volatility in the price of commodities and its link with financial markets, through an econometric analysis based on time series, the study period covers from 1999 to 2022, ARCH, GARCH and T GARCH models were estimated, which allow to qualify results for foreign exchange markets, capital markets and debt markets