Munich Personal RePEc Archive

Extração da Volatilidade do Ibovespa

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).

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