Análisis de riesgo de las acciones de la empresa HOLCIM S.A. en el mercado de valores en el periodo 2018-2023.

Abstract

This study examines the fluctuation in Holcim’s stock market value to develop an econometric model for observing and forecasting price variability. The research analyzes the company's performance based on daily prices from 2018 to 2023, reflecting declines due to financial health issues and external factors such as the pandemic. In addition, a forecast of the future value for the next 150 days is provided. The results show that Holcim's stock exhibit moderate volatility. Therefore, investors in Holcim should be prepared to assume a certain degree of risk due to the variability in stock prices. The AutoRegressive Integrated Moving Average (ARIMA) (25,1,6) model suggests a promising approach to forecasting actual prices. In contrast, the Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) (1,1) volatility model effectively incorporates past conditional variances and predicts an expected return of 0.0124% for July 11. Its impact could significantly increase if it remains constant and accumulates over time due to compound interest. Finally, the models are effective in modeling changes in volatility, especially if these changes are sudden. However, they do not adequately capture structural or level changes in the data, as the stock market presents several fundamental issues, such as speculative risk, market fluctuations, governmental changes, and global events.