Souza-Sobrinho, Nelson (2001): Extração da Volatilidade do Ibovespa. Published in: Resenha BM&F No. 144 (2001): pp. 17-39.
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This paper estimates the conditional volatility of the main Brazilian stock market index (Ibovespa), using traditional models of the GARCH family and models of stochastic volatility (SV). Most model selection and performance criteria suggest that both aproaches capture well Ibovespa's volatility, with a slight advantage of the EGARCH(1,1) model. Additionally, the two approaches also behave similarly in practical applications such as the calculation of Value at Risk (VaR).
|Item Type:||MPRA Paper|
|Original Title:||Extração da Volatilidade do Ibovespa|
|English Title:||Estimating Ibovespa's Volatility|
|Keywords:||Conditional volatility; Garch; Ibovespa.|
|Subjects:||C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: General
C - Mathematical and Quantitative Methods > C2 - Single Equation Models; Single Variables > C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
|Depositing User:||Nelson Souza-Sobrinho|
|Date Deposited:||05. Jun 2009 13:26|
|Last Modified:||15. Feb 2013 23:18|
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