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A Análise Da Volatilidade Do Indice Psi-20 Baseada Em Modelos Arch E Garch

Author

Listed:
  • Elisabete Mendes Duarte

    (Dep.de Gestão e Economia. Escola Superior de Tecnologia e Gestão - Instituto Politécnico de Leiria)

  • José Alberto Soares da Fonseca

    (Faculdade de Economia da Universidade de Coimbra)

Abstract

A volatilidade desempenha um papel importante na avaliação dos activos financeiros, daí que proliferem na literatura estudos com vista à sua especificação e medida. Existem várias técnicas para a estimação da volatilidade sendo. a volatilidade determinística uma das mais utilizadas. Este tipo de estimação admite que a volatilidade apresenta uma dependência temporal de variáveis conhecidas no mercado. O presente artigo testa a hipótese de existência de volatilidade determinística no índice PSI-20. Para esse fim recorre-se a modelos da família ARCH e GARCH, que elevado número de estudos revelam ser bastante adequados à análise das séries de preços de activos financeiros.

Suggested Citation

  • Elisabete Mendes Duarte & José Alberto Soares da Fonseca, 2003. "A Análise Da Volatilidade Do Indice Psi-20 Baseada Em Modelos Arch E Garch," Portuguese Journal of Management Studies, ISEG, Universidade de Lisboa, vol. 0(1), pages 87-103.
    • Handle: RePEc:pjm:journl:v:viii:y:2003:i:1:p:87-103
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