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Desempenho de Estimadores de Volatilidade na Bolsa de Valores de São Paulo

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  • Mota, Bernardo de Sá
  • Fernandes, Marcelo

Abstract

O objetivo deste trabalho é avaliar o desempenho de diferentes métodos de extração da volatilidade do Índice da Bolsa de Valores de São Paulo (IBOVESPA) tendo como referência a volatilidade realizada. Comparamos modelos da família GARCH com estimadores alternativos baseados em cotações de abertura, fechamento, máximo e mínimo. Os resultados indicam que os estimadores alternativos são tão precisos quanto os modelos do tipo GARCH, apesar de serem muito mais econômicos em termos computacionais.
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Suggested Citation

  • Mota, Bernardo de Sá & Fernandes, Marcelo, 2004. "Desempenho de Estimadores de Volatilidade na Bolsa de Valores de São Paulo," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 58(3), July.
    • Handle: RePEc:fgv:epgrbe:v:58:y:2004:i:3:a:884
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    Cited by:

    1. MArcelo Carvalho & MArco Aurelio Freire & Marcelo Cunha Medeiros & Leonardo Souza, 2006. "Modeling and forecasting the volatility of Brazilian asset returns," Textos para discussão 530, Department of Economics PUC-Rio (Brazil).

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