Um Procedimento Para Análise De Persistência Na Volatilidade

Marcelo Fernandes and Marcos de Bustamante Monteiro

Brazilian Review of Econometrics, 1997, vol. 17, issue 1

Abstract: Diebold (1986) suggested that conditional heteroskedastic models tend to overestimate persistence of volatility when there are instabilities at the unconditional second momento We propose a procedure for analysing this phenomenon based on recent techniques developed by the sudden changes of variance literature. Applying the ICSS algorithm (Inclán & Tiao, 1994) to the standardised residuals of the conditional heteroskedastic model, it is possible to detect break points at the unconditional variance. By incorporating dummies to capture these instabilities, a more accurate and reliable estimate of the volatility persistence can be computed. The procedure is successfully applied to Brazilian financial data.

Date: 1997
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Persistent link: https://EconPapers.repec.org/RePEc:sbe:breart:v:17:y:1997:i:1:a:2869

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