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Modelagem e previsão de volatilidade realizada: evidências para o Brasil

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  • Wink Junior, Marcos Vinicio
  • Valls Pereira, Pedro L.

Abstract

Usando dados intradiários dos ativos mais negociados do BOVESPA, este trabalho considerou dois modelos recentemente desenvolvidos na literatura de estimação e previsão de volatilidade realizada. São eles; Heterogeneous Autorregressive Model of Realized Volatility (HAR-RV), desenvolvido por Corsi (2009) e o Mixed Data Sampling (MIDAS-RV), desenvolvido por Ghysels et al. (2004). Através de medidas de comparação de previsão dentro e fora da amostra, constatou-se resultados superiores do modelo MIDAS-RV apenas para previsõesdentro da amostra. Para previsões fora da amostra, no entanto, não houve diferença estatisticamente significativa entre os modelos. Também encontram-se evidências que a utilização da volatilidade realizada induz distribuições dos retornos padronizados mais próximas da normal

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Bibliographic Info

Paper provided by Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) in its series Textos para discussão with number 313.

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Date of creation: 12 Sep 2012
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Handle: RePEc:fgv:eesptd:313

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