SVR-GARCH como preditor de volatilidade sobre o ambiente da crise da Covid-19

Detalhes bibliográficos
Autor(a) principal: Fidry, Danilo Ribeiro
Data de Publicação: 2021
Tipo de documento: Dissertação
Idioma: por
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: https://hdl.handle.net/10438/31475
Resumo: A previsão de séries temporais financeiras, tem como características a grande dificuldade em se realizar predições. Devido à característica de alta volatilidade de seus mercados, a previsão de índices financeiros de países emergentes sul americanos torna-se um desafio maior. Objetivo da dissertação foi analisar o modelo de SVR, denominado GARCH-SVR, como um preditor da volatilidade em ambiente de grande incerteza, provocado pela crise financeira da pandemia da Covid-19.
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spelling Fidry, Danilo RibeiroInstitutos::IBREGonçalves, Edson Daniel LopesUgolini, AndreaSouza, Rafael Martins de2022-01-04T12:58:59Z2022-01-04T12:58:59Z2021-03-26https://hdl.handle.net/10438/31475A previsão de séries temporais financeiras, tem como características a grande dificuldade em se realizar predições. Devido à característica de alta volatilidade de seus mercados, a previsão de índices financeiros de países emergentes sul americanos torna-se um desafio maior. Objetivo da dissertação foi analisar o modelo de SVR, denominado GARCH-SVR, como um preditor da volatilidade em ambiente de grande incerteza, provocado pela crise financeira da pandemia da Covid-19.The prediction of financial time series is characterized by the great difficulty in this forecast, due to the high volatility characteristic of this markets, the forecast of financial index of emerging South American countries, becomes a greater challenge. The aim of this dissertation was to analyze the SVR model, denominated GARCH-SVR as a predictor of the volatility an environment of great uncertainty, caused by the financialcrisis due to the Covid-19 pandemic.porMercado financeiroPrevisãoAprendizado do computadorAnálise de séries temporaisRisco (Economia)Financial MarketForecastMachine LearningTime Series AnalysisRisk (Economy)EconomiaMercado financeiro - PrevisãoAprendizado do computadorAnálise de séries temporaisRisco (Economia)SVR-GARCH como preditor de volatilidade sobre o ambiente da crise da Covid-19info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesis2021-03-26info:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas 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dc.title.por.fl_str_mv SVR-GARCH como preditor de volatilidade sobre o ambiente da crise da Covid-19
title SVR-GARCH como preditor de volatilidade sobre o ambiente da crise da Covid-19
spellingShingle SVR-GARCH como preditor de volatilidade sobre o ambiente da crise da Covid-19
Fidry, Danilo Ribeiro
Mercado financeiro
Previsão
Aprendizado do computador
Análise de séries temporais
Risco (Economia)
Financial Market
Forecast
Machine Learning
Time Series Analysis
Risk (Economy)
Economia
Mercado financeiro - Previsão
Aprendizado do computador
Análise de séries temporais
Risco (Economia)
title_short SVR-GARCH como preditor de volatilidade sobre o ambiente da crise da Covid-19
title_full SVR-GARCH como preditor de volatilidade sobre o ambiente da crise da Covid-19
title_fullStr SVR-GARCH como preditor de volatilidade sobre o ambiente da crise da Covid-19
title_full_unstemmed SVR-GARCH como preditor de volatilidade sobre o ambiente da crise da Covid-19
title_sort SVR-GARCH como preditor de volatilidade sobre o ambiente da crise da Covid-19
author Fidry, Danilo Ribeiro
author_facet Fidry, Danilo Ribeiro
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Institutos::IBRE
dc.contributor.member.none.fl_str_mv Gonçalves, Edson Daniel Lopes
Ugolini, Andrea
dc.contributor.author.fl_str_mv Fidry, Danilo Ribeiro
dc.contributor.advisor1.fl_str_mv Souza, Rafael Martins de
contributor_str_mv Souza, Rafael Martins de
dc.subject.por.fl_str_mv Mercado financeiro
Previsão
Aprendizado do computador
Análise de séries temporais
Risco (Economia)
topic Mercado financeiro
Previsão
Aprendizado do computador
Análise de séries temporais
Risco (Economia)
Financial Market
Forecast
Machine Learning
Time Series Analysis
Risk (Economy)
Economia
Mercado financeiro - Previsão
Aprendizado do computador
Análise de séries temporais
Risco (Economia)
dc.subject.eng.fl_str_mv Financial Market
Forecast
Machine Learning
Time Series Analysis
Risk (Economy)
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Mercado financeiro - Previsão
Aprendizado do computador
Análise de séries temporais
Risco (Economia)
description A previsão de séries temporais financeiras, tem como características a grande dificuldade em se realizar predições. Devido à característica de alta volatilidade de seus mercados, a previsão de índices financeiros de países emergentes sul americanos torna-se um desafio maior. Objetivo da dissertação foi analisar o modelo de SVR, denominado GARCH-SVR, como um preditor da volatilidade em ambiente de grande incerteza, provocado pela crise financeira da pandemia da Covid-19.
publishDate 2021
dc.date.issued.fl_str_mv 2021-03-26
dc.date.accessioned.fl_str_mv 2022-01-04T12:58:59Z
dc.date.available.fl_str_mv 2022-01-04T12:58:59Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://hdl.handle.net/10438/31475
url https://hdl.handle.net/10438/31475
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dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
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dc.source.none.fl_str_mv reponame:Repositório Institucional do FGV (FGV Repositório Digital)
instname:Fundação Getulio Vargas (FGV)
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instname_str Fundação Getulio Vargas (FGV)
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