CUATRO HECHOS ESTILIZADOS DE LAS SERIES DE RENDIMIENTOS: UNA ILUSTRACIÓN PARA COLOMBIA (Article published in Spanish)

Abstract

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.