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Volatilidade Implícita e Antecipação de Eventos de : um Teste para o Mercado Brasileiro

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  • Frederico Pechir Gomes

Abstract

This paper aims at verifying whether, for the Brazilian markets, option implied volatility contains information regarding large-magnitude returns in the future. Moreover, a practical tool was developed in order to capture the information provided by implied volatility. Statistical evidence shows that implied volatility in Telebrás and dollar-real options contains useful information regarding stress events in the future. Depending on the implied volatility estimate used in the analysis, the information provided by Telebrás options is captured by a practical warning system at a 92% level of confidence. In the case of implied volatility in dollar-real options, however, the practical tool proved to be inefficient. False signals were issued and stress events in the dollar-real market were not previously detected.

Suggested Citation

  • Frederico Pechir Gomes, 2002. "Volatilidade Implícita e Antecipação de Eventos de : um Teste para o Mercado Brasileiro," Working Papers Series 38, Central Bank of Brazil, Research Department.
    • Handle: RePEc:bcb:wpaper:38
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    File URL: https://www.bcb.gov.br/content/publicacoes/WorkingPaperSeries/wps38.pdf
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    Cited by:

    1. Gomes, Frederico Pechir & Takami, Marcelo Yoshio & Brandi, Vinicius Ratton, 2008. "Investigating Unusual Changes in Real-Dollar Exchange Rate," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 62(2), October.

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