Forecasting volatility in the brazilian foreign exchange market
| Autor(a) principal: | |
|---|---|
| Data de Publicação: | 2005 |
| Outros Autores: | , , |
| Tipo de documento: | Artigo |
| Idioma: | por |
| Título da fonte: | Revista de Administração de Empresas |
| Texto Completo: | https://bibliotecadigital.fgv.br/ojs/index.php/rae/article/view/37336 |
Resumo: | This paper presents a comparative study of the predictive capacity of the models EWMA, GARCH (1,1) EGARCH (1,1) and TARCH (1,1) when applied to forecast the volatility of the exchange rates in the Brazilian inter-bank market. The sample consists of the daily closing quotations of the exchange rate real/US dollar obtained in the period from August 20, 2001 to September 30, 2003. The results showed that the TARCH (1,1) model, provided the most accurate forecast performance for this period, followed closely by the EGARCH (1,1) model, then the GARCH (1,1) model, and finally the EWMA model. There was also evidence that all the models revealed a tendency to overestimate the future volatility. It was confirmed as well that the Brazilian Exchange Clearinghouse operates in an extremely traditional and subjective way concerning the definition of the exchange rate variation indexes guaranteed under contract and, consequently, in collateral requirements. |
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Forecasting volatility in the brazilian foreign exchange marketPrevisão da volatilidade no mercado interbancário de câmbioVolatilityexchangeriskeconometrics modelsVolatilidadecâmbioriscomodelos econométricosThis paper presents a comparative study of the predictive capacity of the models EWMA, GARCH (1,1) EGARCH (1,1) and TARCH (1,1) when applied to forecast the volatility of the exchange rates in the Brazilian inter-bank market. The sample consists of the daily closing quotations of the exchange rate real/US dollar obtained in the period from August 20, 2001 to September 30, 2003. The results showed that the TARCH (1,1) model, provided the most accurate forecast performance for this period, followed closely by the EGARCH (1,1) model, then the GARCH (1,1) model, and finally the EWMA model. There was also evidence that all the models revealed a tendency to overestimate the future volatility. It was confirmed as well that the Brazilian Exchange Clearinghouse operates in an extremely traditional and subjective way concerning the definition of the exchange rate variation indexes guaranteed under contract and, consequently, in collateral requirements.O artigo apresenta um estudo comparativo da capacidade preditiva dos modelos EWMA, GARCH (1,1), EGARCH (1,1) e TARCH (1,1), quando utilizados para prever a volatilidade das taxas de câmbio praticadas no mercado interbancário brasileiro. A amostra é composta pelas cotações diárias de fechamento da taxa de câmbio real/dólar estadunidense observadas no período de 20 de agosto de 2001 a 30 de setembro de 2003. Os resultados demonstraram que o modelo TARCH (1,1) apresentou o melhor desempenho preditivo para o período, acompanhado de perto pelo modelo EGARCH (1,1), seguindo-se o modelo GARCH (1,1) e, por último, o modelo EWMA. Constatou-se também que todos os modelos revelaram uma propensão a superestimar a volatilidade futura, e que a Clearing de Câmbio da BM&F atua de forma excessivamente conservadora e subjetiva na definição dos índices de variação da taxa de câmbio contratualmente garantidos e, conseqüentemente, na exigência de garantias.RAE - Revista de Administracao de Empresas RAE - Revista de Administração de EmpresasRAE-Revista de Administração de Empresas2005-01-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://bibliotecadigital.fgv.br/ojs/index.php/rae/article/view/37336RAE - Revista de Administracao de Empresas ; Vol. 45 (2005): Edição especial Minas Gerais; 86-101RAE - Revista de Administração de Empresas; Vol. 45 (2005): Edição especial Minas Gerais; 86-101RAE-Revista de Administração de Empresas; v. 45 (2005): Edição especial Minas Gerais; 86-1012178-938X0034-7590reponame:Revista de Administração de Empresasinstname:Fundação Getulio Vargas (FGV)instacron:FGVporhttps://bibliotecadigital.fgv.br/ojs/index.php/rae/article/view/37336/36098Goulart, Clayton PeixotoAmaral, Hudson FernandesBertucci, Luiz AlbertoBressan, Aureliano Angelinfo:eu-repo/semantics/openAccess2016-08-17T18:44:23Zoai:bibliotecadigital.fgv.br:article/37336Revistahttps://rae.fgv.br/raeONGhttps://old.scielo.br/oai/scielo-oai.phprae@fgv.br||ilda.fontes@fgv.br||raeredacao@fgv.br2178-938X0034-7590opendoar:2016-08-17T18:44:23Revista de Administração de Empresas - Fundação Getulio Vargas (FGV)false |
| dc.title.none.fl_str_mv |
Forecasting volatility in the brazilian foreign exchange market Previsão da volatilidade no mercado interbancário de câmbio |
| title |
Forecasting volatility in the brazilian foreign exchange market |
| spellingShingle |
Forecasting volatility in the brazilian foreign exchange market Goulart, Clayton Peixoto Volatility exchange risk econometrics models Volatilidade câmbio risco modelos econométricos |
| title_short |
Forecasting volatility in the brazilian foreign exchange market |
| title_full |
Forecasting volatility in the brazilian foreign exchange market |
| title_fullStr |
Forecasting volatility in the brazilian foreign exchange market |
| title_full_unstemmed |
Forecasting volatility in the brazilian foreign exchange market |
| title_sort |
Forecasting volatility in the brazilian foreign exchange market |
| author |
Goulart, Clayton Peixoto |
| author_facet |
Goulart, Clayton Peixoto Amaral, Hudson Fernandes Bertucci, Luiz Alberto Bressan, Aureliano Angel |
| author_role |
author |
| author2 |
Amaral, Hudson Fernandes Bertucci, Luiz Alberto Bressan, Aureliano Angel |
| author2_role |
author author author |
| dc.contributor.author.fl_str_mv |
Goulart, Clayton Peixoto Amaral, Hudson Fernandes Bertucci, Luiz Alberto Bressan, Aureliano Angel |
| dc.subject.por.fl_str_mv |
Volatility exchange risk econometrics models Volatilidade câmbio risco modelos econométricos |
| topic |
Volatility exchange risk econometrics models Volatilidade câmbio risco modelos econométricos |
| description |
This paper presents a comparative study of the predictive capacity of the models EWMA, GARCH (1,1) EGARCH (1,1) and TARCH (1,1) when applied to forecast the volatility of the exchange rates in the Brazilian inter-bank market. The sample consists of the daily closing quotations of the exchange rate real/US dollar obtained in the period from August 20, 2001 to September 30, 2003. The results showed that the TARCH (1,1) model, provided the most accurate forecast performance for this period, followed closely by the EGARCH (1,1) model, then the GARCH (1,1) model, and finally the EWMA model. There was also evidence that all the models revealed a tendency to overestimate the future volatility. It was confirmed as well that the Brazilian Exchange Clearinghouse operates in an extremely traditional and subjective way concerning the definition of the exchange rate variation indexes guaranteed under contract and, consequently, in collateral requirements. |
| publishDate |
2005 |
| dc.date.none.fl_str_mv |
2005-01-01 |
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info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion |
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article |
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publishedVersion |
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https://bibliotecadigital.fgv.br/ojs/index.php/rae/article/view/37336 |
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https://bibliotecadigital.fgv.br/ojs/index.php/rae/article/view/37336 |
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por |
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por |
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https://bibliotecadigital.fgv.br/ojs/index.php/rae/article/view/37336/36098 |
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info:eu-repo/semantics/openAccess |
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openAccess |
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application/pdf |
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RAE - Revista de Administracao de Empresas RAE - Revista de Administração de Empresas RAE-Revista de Administração de Empresas |
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RAE - Revista de Administracao de Empresas RAE - Revista de Administração de Empresas RAE-Revista de Administração de Empresas |
| dc.source.none.fl_str_mv |
RAE - Revista de Administracao de Empresas ; Vol. 45 (2005): Edição especial Minas Gerais; 86-101 RAE - Revista de Administração de Empresas; Vol. 45 (2005): Edição especial Minas Gerais; 86-101 RAE-Revista de Administração de Empresas; v. 45 (2005): Edição especial Minas Gerais; 86-101 2178-938X 0034-7590 reponame:Revista de Administração de Empresas instname:Fundação Getulio Vargas (FGV) instacron:FGV |
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Revista de Administração de Empresas |
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Revista de Administração de Empresas |
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Revista de Administração de Empresas - Fundação Getulio Vargas (FGV) |
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