Volatilidade implícita das opções de ações: uma análise sobre a volatilidade futura
Autor(a) principal: | |
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Data de Publicação: | 2009 |
Tipo de documento: | Dissertação |
Idioma: | por |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/4301 |
Resumo: | The purpose of this study is to examine the predictive power of the market about future volatility using the information obtained from the options on Petrobras and Vale. We will also compare the results with models such as GARCH and EWMA. Similar studies were performed in the U.S. stock market: Either with selected stocks or the S & P 100 Index, the results are not conclusive. Even if Canina and Figlewski (1993) find that the 'implied volatility has virtually no correlation with future volatility', Christensen and Prabhala (1998) conclude that implied volatility is a good predictor of future volatility. Andrade and Tabak (2001) use dollar options to study the information content power of the options on dollar. They also compare the predictive power of implied volatility withmodels such as EWMA or GARCH. The authors conclude that implied volatility is a biased estimator of future volatility but has a better performance compared with statistical models. Gabe and Portugal (2003) compare the implied volatility of options on Telemar (TNLP4) with statistical models like GARCH. In this case, implied volatility is also a biased estimator, but the statistical models were also good predictors and showed no bias. The data in this study are taken during 2008 and early 2009, using intraday observations of implied volatilities for the first two maturities of 'at the money' options on Petrobras and Vale. The observed implied volatility for both stocks contains relevant information about future olatility,similarly to previous studies, is biased. Specifically for Petrobras, GARCH model proved to be an efficient predictor of future volatility. |
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Mello, Arthur Ribeiro de Aquino FigueiredoEscolas::EESPPinto, Afonso de CamposSanvicente, Antonio ZorattoPereira, Pedro L. Valls2010-04-20T21:50:53Z2010-04-20T21:00:39Z2010-04-06T20:24:52Z2010-04-20T21:00:39Z2009MELLO, Arthur Ribeiro de Aquino Figueiredo. Volatilidade implícita das opções de ações: uma análise sobre a volatilidade futura. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2009.http://hdl.handle.net/10438/4301The purpose of this study is to examine the predictive power of the market about future volatility using the information obtained from the options on Petrobras and Vale. We will also compare the results with models such as GARCH and EWMA. Similar studies were performed in the U.S. stock market: Either with selected stocks or the S & P 100 Index, the results are not conclusive. Even if Canina and Figlewski (1993) find that the 'implied volatility has virtually no correlation with future volatility', Christensen and Prabhala (1998) conclude that implied volatility is a good predictor of future volatility. Andrade and Tabak (2001) use dollar options to study the information content power of the options on dollar. They also compare the predictive power of implied volatility withmodels such as EWMA or GARCH. The authors conclude that implied volatility is a biased estimator of future volatility but has a better performance compared with statistical models. Gabe and Portugal (2003) compare the implied volatility of options on Telemar (TNLP4) with statistical models like GARCH. In this case, implied volatility is also a biased estimator, but the statistical models were also good predictors and showed no bias. The data in this study are taken during 2008 and early 2009, using intraday observations of implied volatilities for the first two maturities of 'at the money' options on Petrobras and Vale. The observed implied volatility for both stocks contains relevant information about future olatility,similarly to previous studies, is biased. Specifically for Petrobras, GARCH model proved to be an efficient predictor of future volatility.O objetivo desse trabalho é avaliar a capacidade de previsão do mercado sobre a volatilidade futura a partir das informações obtidas nas opções de Petrobras e Vale, além de fazer uma comparação com modelos do tipo GARCH e EWMA. Estudos semelhantes foram realizados no mercado de ações americano: Seja com uma cesta de ações selecionadas ou com relação ao índice S&P 100, as conclusões foram diversas. Se Canina e Figlewski (1993) a 'volatilidade implícita tem virtualmente nenhuma correlação com a volatilidade futura', Christensen e Prabhala (1998) concluem que a volatilidade implícita é um bom preditor da volatilidade futura. No mercado brasileiro, Andrade e Tabak (2001) utilizam opções de dólar para estudar o conteúdo da informação no mercado de opções. Além disso, comparam o poder de previsão da volatilidade implícita com modelos de média móvel e do tipo GARCH. Os autores concluem que a volatilidade implícita é um estimador viesado da volatilidade futura mas de desempenho superior se comparada com modelos estatísticos. Gabe e Portugal (2003) comparam a volatilidade implícita das opções de Telemar (TNLP4) com modelos estatísticos do tipo GARCH. Nesse caso, volatilidade implícita tambem é um estimador viesado, mas os modelos estatísticos além de serem bons preditores, não apresentaram viés. Os dados desse trabalho foram obtidos ao longo de 2008 e início de 2009, optando-se por observações intradiárias das volatilidades implícitas das opções 'no dinheiro' de Petrobrás e Vale dos dois primeiros vencimentos. A volatidade implícita observada no mercado para ambos os ativos contém informação relevante sobre a volatilidade futura, mas da mesma forma que em estudos anteriores, mostou-se viesada. No caso específico de Petrobrás, o modelo GARCH se mostrou um previsor eficiente da volatilidade futuraporVolatilidade implícitaDerivativosGARCHPrevisão de volatilidadeEconomiaMercado de opçõesMercados financeiros futurosVolatilidade implícita das opções de ações: uma análise sobre a volatilidade futurainfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessTHUMBNAILArthur Ribeiro de A F Mello.pdf.jpgArthur Ribeiro de A F Mello.pdf.jpgGenerated Thumbnailimage/jpeg2560https://repositorio.fgv.br/bitstreams/aa6268fd-7933-447e-967e-3d63845d8e70/download78793329000e1cfe86915f2c1a37d96aMD59TEXTArthur Ribeiro de A F Mello.pdf.txtArthur Ribeiro de A F Mello.pdf.txtExtracted 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|
dc.title.por.fl_str_mv |
Volatilidade implícita das opções de ações: uma análise sobre a volatilidade futura |
title |
Volatilidade implícita das opções de ações: uma análise sobre a volatilidade futura |
spellingShingle |
Volatilidade implícita das opções de ações: uma análise sobre a volatilidade futura Mello, Arthur Ribeiro de Aquino Figueiredo Volatilidade implícita Derivativos GARCH Previsão de volatilidade Economia Mercado de opções Mercados financeiros futuros |
title_short |
Volatilidade implícita das opções de ações: uma análise sobre a volatilidade futura |
title_full |
Volatilidade implícita das opções de ações: uma análise sobre a volatilidade futura |
title_fullStr |
Volatilidade implícita das opções de ações: uma análise sobre a volatilidade futura |
title_full_unstemmed |
Volatilidade implícita das opções de ações: uma análise sobre a volatilidade futura |
title_sort |
Volatilidade implícita das opções de ações: uma análise sobre a volatilidade futura |
author |
Mello, Arthur Ribeiro de Aquino Figueiredo |
author_facet |
Mello, Arthur Ribeiro de Aquino Figueiredo |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EESP |
dc.contributor.member.none.fl_str_mv |
Pinto, Afonso de Campos Sanvicente, Antonio Zoratto |
dc.contributor.author.fl_str_mv |
Mello, Arthur Ribeiro de Aquino Figueiredo |
dc.contributor.advisor1.fl_str_mv |
Pereira, Pedro L. Valls |
contributor_str_mv |
Pereira, Pedro L. Valls |
dc.subject.por.fl_str_mv |
Volatilidade implícita Derivativos GARCH Previsão de volatilidade |
topic |
Volatilidade implícita Derivativos GARCH Previsão de volatilidade Economia Mercado de opções Mercados financeiros futuros |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Mercado de opções Mercados financeiros futuros |
description |
The purpose of this study is to examine the predictive power of the market about future volatility using the information obtained from the options on Petrobras and Vale. We will also compare the results with models such as GARCH and EWMA. Similar studies were performed in the U.S. stock market: Either with selected stocks or the S & P 100 Index, the results are not conclusive. Even if Canina and Figlewski (1993) find that the 'implied volatility has virtually no correlation with future volatility', Christensen and Prabhala (1998) conclude that implied volatility is a good predictor of future volatility. Andrade and Tabak (2001) use dollar options to study the information content power of the options on dollar. They also compare the predictive power of implied volatility withmodels such as EWMA or GARCH. The authors conclude that implied volatility is a biased estimator of future volatility but has a better performance compared with statistical models. Gabe and Portugal (2003) compare the implied volatility of options on Telemar (TNLP4) with statistical models like GARCH. In this case, implied volatility is also a biased estimator, but the statistical models were also good predictors and showed no bias. The data in this study are taken during 2008 and early 2009, using intraday observations of implied volatilities for the first two maturities of 'at the money' options on Petrobras and Vale. The observed implied volatility for both stocks contains relevant information about future olatility,similarly to previous studies, is biased. Specifically for Petrobras, GARCH model proved to be an efficient predictor of future volatility. |
publishDate |
2009 |
dc.date.issued.fl_str_mv |
2009 |
dc.date.accessioned.fl_str_mv |
2010-04-20T21:50:53Z 2010-04-20T21:00:39Z |
dc.date.available.fl_str_mv |
2010-04-06T20:24:52Z 2010-04-20T21:00:39Z |
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.citation.fl_str_mv |
MELLO, Arthur Ribeiro de Aquino Figueiredo. Volatilidade implícita das opções de ações: uma análise sobre a volatilidade futura. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2009. |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/4301 |
identifier_str_mv |
MELLO, Arthur Ribeiro de Aquino Figueiredo. Volatilidade implícita das opções de ações: uma análise sobre a volatilidade futura. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2009. |
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http://hdl.handle.net/10438/4301 |
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