Impact of calendar effects in the volatility of vale shares

Lucas Godeiro ()

MPRA Paper from University Library of Munich, Germany

Abstract: The paper aims to estimate the impact of calendar effects in volatility of the preferred and ordinary shares of Vale. The data researched were the stocks prices Vale between January 2, 1995 and October 26, 2011. The Stochastic Volatility Model was the Model and the Structural Model was the estimation method used. The results indicate that the privatization and the public offer of the stocks of Vale changed the behavior of volatility of the shares. The calendar effects have effect in volatility. The calendar effects had a greater explanatory power over the ordinary shares.

Keywords: Stochastic Volatility Model; Kalman Filter; Vale. (search for similar items in EconPapers)
JEL-codes: C1 C22 D53 (search for similar items in EconPapers)
Date: 2011-11-24
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