Modelando a volatilidade dos retornos de Petrobrás usando dados de alta frequência
Autor(a) principal: | |
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Data de Publicação: | 2010 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/6857 |
Resumo: | The aim of this paper is to assess the empirical characteristics of a high-frequency return series of one of the main assets traded at the São Paulo Stock Exchange. We are interested in modeling the conditional volatility of these return series, particularly testing for long-memory. Our findings reveal that besides long memory, there is strong intraday periodicity, but we found no evidence of leverage effect. We use models that are able to account for the long memory in the conditional variance of the seasonally adjusted returns, yielding superior results when compared to traditional short-memory volatility models, with important implications to option pricing and risk management |
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Cappa, LeonardoPereira, Pedro L. VallsEscolas::EESP2010-06-29T14:51:15Z2010-06-29T14:51:15Z2010-06-29http://hdl.handle.net/10438/6857The aim of this paper is to assess the empirical characteristics of a high-frequency return series of one of the main assets traded at the São Paulo Stock Exchange. We are interested in modeling the conditional volatility of these return series, particularly testing for long-memory. Our findings reveal that besides long memory, there is strong intraday periodicity, but we found no evidence of leverage effect. We use models that are able to account for the long memory in the conditional variance of the seasonally adjusted returns, yielding superior results when compared to traditional short-memory volatility models, with important implications to option pricing and risk managementO objetivo do presente trabalho é analisar as características empíricas de uma série de retornos de dados em alta freqüência para um dos ativos mais negociados na Bolsa de Valores de São Paulo. Estamos interessados em modelar a volatilidade condicional destes retornos, testando em particular a presença de memória longa, entre outros fenômenos que caracterizam este tipo de dados. Nossa investigação revela que além da memória longa, existe forte sazonalidade intradiária, mas não encontramos evidências de um fato estilizado de retornos de ações, o efeito alavancagem. Utilizamos modelos capazes de captar a memória longa na variância condicional dos retornos dessazonalizados, com resultados superiores a modelos tradicionais de memória curta, com implicações importantes para precificação de opções e de risco de mercadoengTextos para discussão - EESP ; 258Long-memoryIntraday periodicityHigh frequency dataMercado de capitais - São Paulo (Estado)Taxa interna de retornoEconomiaEconomiaModelando a volatilidade dos retornos de Petrobrás usando dados de alta frequênciainfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlereponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessORIGINALTD 258 - Pedro Valls.pdfTD 258 - Pedro Valls.pdfapplication/pdf457863https://repositorio.fgv.br/bitstreams/b8fdf139-6182-4a66-b379-8082aed599e7/download53cac2ce41b6a60e6619872629a57a06MD51LICENSElicense.txtlicense.txttext/plain; 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dc.title.por.fl_str_mv |
Modelando a volatilidade dos retornos de Petrobrás usando dados de alta frequência |
title |
Modelando a volatilidade dos retornos de Petrobrás usando dados de alta frequência |
spellingShingle |
Modelando a volatilidade dos retornos de Petrobrás usando dados de alta frequência Cappa, Leonardo Long-memory Intraday periodicity High frequency data Mercado de capitais - São Paulo (Estado) Taxa interna de retorno Economia Economia |
title_short |
Modelando a volatilidade dos retornos de Petrobrás usando dados de alta frequência |
title_full |
Modelando a volatilidade dos retornos de Petrobrás usando dados de alta frequência |
title_fullStr |
Modelando a volatilidade dos retornos de Petrobrás usando dados de alta frequência |
title_full_unstemmed |
Modelando a volatilidade dos retornos de Petrobrás usando dados de alta frequência |
title_sort |
Modelando a volatilidade dos retornos de Petrobrás usando dados de alta frequência |
author |
Cappa, Leonardo |
author_facet |
Cappa, Leonardo Pereira, Pedro L. Valls |
author_role |
author |
author2 |
Pereira, Pedro L. Valls |
author2_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EESP |
dc.contributor.author.fl_str_mv |
Cappa, Leonardo Pereira, Pedro L. Valls |
dc.subject.eng.fl_str_mv |
Long-memory Intraday periodicity |
topic |
Long-memory Intraday periodicity High frequency data Mercado de capitais - São Paulo (Estado) Taxa interna de retorno Economia Economia |
dc.subject.por.fl_str_mv |
High frequency data Mercado de capitais - São Paulo (Estado) Taxa interna de retorno |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Economia |
description |
The aim of this paper is to assess the empirical characteristics of a high-frequency return series of one of the main assets traded at the São Paulo Stock Exchange. We are interested in modeling the conditional volatility of these return series, particularly testing for long-memory. Our findings reveal that besides long memory, there is strong intraday periodicity, but we found no evidence of leverage effect. We use models that are able to account for the long memory in the conditional variance of the seasonally adjusted returns, yielding superior results when compared to traditional short-memory volatility models, with important implications to option pricing and risk management |
publishDate |
2010 |
dc.date.accessioned.fl_str_mv |
2010-06-29T14:51:15Z |
dc.date.available.fl_str_mv |
2010-06-29T14:51:15Z |
dc.date.issued.fl_str_mv |
2010-06-29 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
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publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/6857 |
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http://hdl.handle.net/10438/6857 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.ispartofseries.por.fl_str_mv |
Textos para discussão - EESP ; 258 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.source.none.fl_str_mv |
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