Modelo de Volatilidade Estocástica com Efeitos Calendário: Um estudo empírico para as ações da Vale

Lucas Lúcio Godeiro ()
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Lucas Lúcio Godeiro: Universidade do Estado do Rio Grande do Norte (Uern)

Revista de Economia Mackenzie (REM), 2011, vol. 9, issue 2, 91-112

Abstract: The present paper aim to estimate the volatility of the preferred and ordinary stocks of Vale taking into account the influence of the calendar effects. For both were researched the stocks prices between January 2, 1995 and October 26, 2011. It was used the Stochastic Volatility Model(SV) and the estimation method was the Kalman Filter. The results indicate that the privatization and the public offer of the stocks changed the behavior of volatility between the papers. The calendar effects have effect greater. The calendar effects had a greater explanatory power over the common shares.

Keywords: Stochastic Volatility Model; Kalman Filter; Vale. (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:aft:journl:v:9:2:2011:may:aug:p:91-112

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