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Modelando a volatilidade dos retornos de Petrobrás usando dados de alta frequência


  • Cappa, Leonardo
  • Pereira, Pedro L. Valls


The aim of this paper is to assess the empirical characteristics of a high-frequency return series of one of the main assets traded at the São Paulo Stock Exchange. We are interested in modeling the conditional volatility of these return series, particularly testing for long-memory. Our findings reveal that besides long memory, there is strong intraday periodicity, but we found no evidence of leverage effect. We use models that are able to account for the long memory in the conditional variance of the seasonally adjusted returns, yielding superior results when compared to traditional short-memory volatility models, with important implications to option pricing and risk management

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  • Cappa, Leonardo & Pereira, Pedro L. Valls, 2010. "Modelando a volatilidade dos retornos de Petrobrás usando dados de alta frequência," Textos para discussão 258, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  • Handle: RePEc:fgv:eesptd:258

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    References listed on IDEAS

    1. Sweeney, Richard J, 1986. " Beating the Foreign Exchange Market," Journal of Finance, American Finance Association, vol. 41(1), pages 163-182, March.
    2. LeBaron, Blake, 1999. "Technical trading rule profitability and foreign exchange intervention," Journal of International Economics, Elsevier, vol. 49(1), pages 125-143, October.
    3. Jensen, Michael C & Bennington, George A, 1970. "Random Walks and Technical Theories: Some Additional Evidence," Journal of Finance, American Finance Association, vol. 25(2), pages 469-482, May.
    4. Eduardo José Araújo Lima & Benjamin Miranda Tabak, 2007. "Building Confidence Intervals with Block Bootstraps for the Variance Ratio Test of Predictability," Working Papers Series 151, Central Bank of Brazil, Research Department.
    5. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    6. Brock, William & Lakonishok, Josef & LeBaron, Blake, 1992. " Simple Technical Trading Rules and the Stochastic Properties of Stock Returns," Journal of Finance, American Finance Association, vol. 47(5), pages 1731-1764, December.
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