Extração da Volatilidade do Ibovespa

Estimating Ibovespa's Volatility

Nelson Sobrinho

MPRA Paper from University Library of Munich, Germany

Abstract: This paper estimates the conditional volatility of the main Brazilian stock market index (Ibovespa), using traditional models of the GARCH family and models of stochastic volatility (SV). Most model selection and performance criteria suggest that both aproaches capture well Ibovespa's volatility, with a slight advantage of the EGARCH(1,1) model. Additionally, the two approaches also behave similarly in practical applications such as the calculation of Value at Risk (VaR).

Keywords: Conditional volatility; Garch; Ibovespa. (search for similar items in EconPapers)
JEL-codes: C13 C22 (search for similar items in EconPapers)
Date: 2001
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Published in Resenha BM&F 144 (2001): pp. 17-39

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:15571

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