Economic gains of realized volatility in the Brazilian stock market
Marcio Garcia (),
Marcelo Medeiros () and
Francisco Eduardo de Luna e Almeida Santos
Additional contact information
Francisco Eduardo de Luna e Almeida Santos: Department of Economics PUC-Rio
No 624, Textos para discussão from Department of Economics PUC-Rio (Brazil)
A model of realized variance-covariance is proposed using a portfolio with the most liquid stockassets of Ibovespa. The purpose is to evaluate the economic gains associated with following avolatility timing strategy based on the model’s conditional forecasts. Comparing with traditionalvolatility methods, we find that economic gains associated with realized measures perform wellwhen estimation risk is controlled and increase proportionally to the target return. Whenexpected returns are bootstrapped, however, performance fees are not significant, which is anindication that economic gains of realized volatility are offset by estimation risk.
New Economics Papers: this item is included in nep-fmk
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Journal Article: Economic gains of realized volatility in the Brazilian stock market (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:rio:texdis:624
Access Statistics for this paper
More papers in Textos para discussão from Department of Economics PUC-Rio (Brazil) Contact information at EDIRC.
Bibliographic data for series maintained by ().