Souza-Sobrinho, Nelson (2001): Extração da Volatilidade do Ibovespa. Published in: Resenha BM&F No. 144 (2001): pp. 17-39.
Download (647kB) | Preview
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 ; Diffusion Processes
|Depositing User:||Nelson Souza-Sobrinho|
|Date Deposited:||05. Jun 2009 13:26|
|Last Modified:||15. Feb 2013 23:18|
ISSLER, J.V. “Estimating and Forecasting the Volatility of Brazilian Finance Series Using ARCH Models”, in The Brazilian Review of Econometrics, 19, 1, 5-56, May 1999a.
_________. “Comentários sobre o artigo Modelos Alternativos para Extração da Volatilidade de Ativos: um Estudo Comparativo”, in The Brazilian Review of Econometrics, vol. 19, no 1, 181-192, May 1999b.
NELSON, D.B. “The Time Series Behavior Stock Market Volatility and Returns”, Ph.D Dissertation, MIT, 1998. ___________. “Conditional Heterosketasticity in Asset Returns: a New Approach”, in Econometrica 59, 347-370, 1991.
TAYLOR, S.J. “Conjectured Models for Trend in Financial Prices Tests and Forecasts”, in Journal of the Royal Statistical Society, A-143, 338-362, 1980.
VALLS PEREIRA, P.L. “Comments About the Paper: Estimating and Forecasting the Volatility of Brazilian Finance Series Using ARCH Models”, in The Brazilian Review of Econometrics, 19, 1, 193-196, May 1999.
________________ and ALMEIDA, N.M.C.G. “Mudança de Regime em Volatilidade: os Modelos Swgarch”, Texto de Discussão no 11, IPE/USP e Ibmec Business School, 2000.
_________________ e ZIEGELMANN, F.A. “Modelos de Volatilidade Estocástica com Deformação Temporal: um Estudo Empírico para o Ibovespa”, in Pesquisa e Planejamento Econômico, 27, 2, 323-343, 1997.
____________, HOTTA, L.k., SOUZA, L.A.R. and ALMEIDA, N.M.C.G. “Alternative Models to Extract Asset Volatility: a Comparative Study”, in The Brazilian Review of Econometrics, 19, 1, 57-109, May 1999.