Asymmetric stochastic Volatility models and Multicriteria Decision Methods in Finance

摘要

In order to make a decision in any given context, it is necessary to have as much infor- mation as possible. For this reason, the objective of this paper is to choose a method, the most objectively possible, to establish an order of preferences between different stock index returns using all available statistical and econometrical information. The TGARCH(1,1) and TA-ARSV(1) are models estimated to obtain the econometrical information. This information is evaluated using discrete multicriteria decision methods such as PROMETHEE Methods, with the aim of obtaining a ranking of preferences be- tween the different Stock Market Indexes in several scenarios. The different scenarios proposed show that the results obtained in the complete ranking of the different fi- nancial returns are robust.