IDEAS home Printed from https://ideas.repec.org/a/fgv/eaerae/v45y2005i0a37336.html
   My bibliography  Save this article

Previsão da volatilidade no mercado interbancário de câmbio

Author

Listed:
  • Goulart, Clayton Peixoto
  • Amaral, Hudson Fernandes
  • Bertucci, Luiz Alberto
  • Bressan, Aureliano Angel

Abstract

This paper presents a comparative study of the predictive capacity of the models EWMA, GARCH (1,1) EGARCH (1,1) and TARCH (1,1) when applied to forecast the volatility of the exchange rates in the Brazilian inter-bank market. The sample consists of the daily closing quotations of the exchange rate real/US dollar obtained in the period from August 20, 2001 to September 30, 2003. The results showed that the TARCH (1,1) model, provided the most accurate forecast performance for this period, followed closely by the EGARCH (1,1) model, then the GARCH (1,1) model, and finally the EWMA model. There was also evidence that all the models revealed a tendency to overestimate the future volatility. It was confirmed as well that the Brazilian Exchange Clearinghouse operates in an extremely traditional and subjective way concerning the definition of the exchange rate variation indexes guaranteed under contract and, consequently, in collateral requirements.

Suggested Citation

  • Goulart, Clayton Peixoto & Amaral, Hudson Fernandes & Bertucci, Luiz Alberto & Bressan, Aureliano Angel, 2005. "Previsão da volatilidade no mercado interbancário de câmbio," RAE - Revista de Administração de Empresas, FGV-EAESP Escola de Administração de Empresas de São Paulo (Brazil), vol. 45(0), January.
    • Handle: RePEc:fgv:eaerae:v:45:y:2005:i:0:a:37336
    as

    Download full text from publisher

    File URL: http://bibliotecadigital.fgv.br/ojs/index.php/rae/article/view/37336
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Matos, Paulo & Beviláqua, Giovanni & Filho, Jaime, 2012. "Previsão do câmbio real-dólar sob um arcabouço de apreçamento de ativos," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 66(3), October.
    2. repec:fgv:epgrbe:v:66:n:3:a:3 is not listed on IDEAS

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fgv:eaerae:v:45:y:2005:i:0:a:37336. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Núcleo de Computação da FGV EPGE (email available below). General contact details of provider: https://edirc.repec.org/data/eagvfbr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.