A volatilidade implícita como instrumento de previsão para volatilidade futura baseado no mercado de opções do Índice Bovespa

Detalhes bibliográficos
Autor(a) principal: Borges Filho, João Uchôa
Data de Publicação: 2020
Tipo de documento: Dissertação
Idioma: por
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: https://hdl.handle.net/10438/29874
Resumo: In this paper, we analyzed the capacity of the local market to predict the realized volatility based on the implied volatilities of the options listed on the Bovespa index for the period of one month and three months, where the liquidity in the local market is concentrated. To further support the study, we did the analysis of several option deltas, not just restricting ourselves to options in the money. In addition, we compared this forward-looking model of implied volatility, with statistical models such as EWMA and GARCH, which are based on past volatility, and see which is more robust. The results obtained point out that the implied volatility seems to be a good estimator for the future volatility and superior to the other models verified for the maturities of 30 and 90 days. The results remained consistent when we carried out the study for the different options deltas in the sample. The evidence for this dissertation is in line with the findings of Melo (2009) and Vicente and Guedes (2010), which, despite being studies based on local stock options, conclude that the implied volatility is a biased, but efficient estimator.
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spelling Borges Filho, João UchôaEscolas::EESPPinto, Afonso de CamposCipparone, Flavio Almeida de MagalhãesMaiali, André Cury2020-12-01T13:58:11Z2020-12-01T13:58:11Z2020-10-20https://hdl.handle.net/10438/29874In this paper, we analyzed the capacity of the local market to predict the realized volatility based on the implied volatilities of the options listed on the Bovespa index for the period of one month and three months, where the liquidity in the local market is concentrated. To further support the study, we did the analysis of several option deltas, not just restricting ourselves to options in the money. In addition, we compared this forward-looking model of implied volatility, with statistical models such as EWMA and GARCH, which are based on past volatility, and see which is more robust. The results obtained point out that the implied volatility seems to be a good estimator for the future volatility and superior to the other models verified for the maturities of 30 and 90 days. The results remained consistent when we carried out the study for the different options deltas in the sample. The evidence for this dissertation is in line with the findings of Melo (2009) and Vicente and Guedes (2010), which, despite being studies based on local stock options, conclude that the implied volatility is a biased, but efficient estimator.Neste trabalho, analisamos a capacidade do mercado local de prever a volatilidade a ser realizada com base nas volatilidades implícitas das opções listadas do Índice Bovespa para os prazos de um e três meses, pois é onde se concentra a liquidez no mercado local. Para dar mais suporte ao estudo, fizemos a análise de vários deltas de opções, não nos restringindo apenas às opções no dinheiro. Além disso, comparamos o modelo forward looking da volatilidade implícita com modelos estatísticos, como EWMA e GARCH, que se baseiam em volatilidade passada, a fim de verificar qual é mais robusto. Os resultados obtidos apontam que a volatilidade implícita parece ser um bom estimador para a volatilidade futura e superior aos outros modelos verificados para os vencimentos de 30 e 90 dias. Os resultados se mantiveram consistentes ao realizarmos o estudo para os diversos deltas de opções da amostra. As evidências desta dissertação vão em linha com os achados de Melo (2009) e Vicente e Guedes (2010), que, apesar de serem estudos baseados em opções de ações locais, concluem que a volatilidade implícita é um estimador com viés, mas eficiente.porPredictImplied volatilityRealized volatilityEWMAGARCHPrevisãoVolatilidade implícitaVolatilidade realizadaEconomiaTeoria da previsãoMercado de opçõesEngenharia financeiraBolsa de Valores de São PauloA volatilidade implícita como instrumento de previsão para volatilidade futura baseado no mercado de opções do Índice Bovespainfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVTEXTTCC_ACM9.3 - Final.pdf.txtTCC_ACM9.3 - Final.pdf.txtExtracted 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dc.title.por.fl_str_mv A volatilidade implícita como instrumento de previsão para volatilidade futura baseado no mercado de opções do Índice Bovespa
title A volatilidade implícita como instrumento de previsão para volatilidade futura baseado no mercado de opções do Índice Bovespa
spellingShingle A volatilidade implícita como instrumento de previsão para volatilidade futura baseado no mercado de opções do Índice Bovespa
Borges Filho, João Uchôa
Predict
Implied volatility
Realized volatility
EWMA
GARCH
Previsão
Volatilidade implícita
Volatilidade realizada
Economia
Teoria da previsão
Mercado de opções
Engenharia financeira
Bolsa de Valores de São Paulo
title_short A volatilidade implícita como instrumento de previsão para volatilidade futura baseado no mercado de opções do Índice Bovespa
title_full A volatilidade implícita como instrumento de previsão para volatilidade futura baseado no mercado de opções do Índice Bovespa
title_fullStr A volatilidade implícita como instrumento de previsão para volatilidade futura baseado no mercado de opções do Índice Bovespa
title_full_unstemmed A volatilidade implícita como instrumento de previsão para volatilidade futura baseado no mercado de opções do Índice Bovespa
title_sort A volatilidade implícita como instrumento de previsão para volatilidade futura baseado no mercado de opções do Índice Bovespa
author Borges Filho, João Uchôa
author_facet Borges Filho, João Uchôa
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EESP
dc.contributor.member.none.fl_str_mv Pinto, Afonso de Campos
Cipparone, Flavio Almeida de Magalhães
dc.contributor.author.fl_str_mv Borges Filho, João Uchôa
dc.contributor.advisor1.fl_str_mv Maiali, André Cury
contributor_str_mv Maiali, André Cury
dc.subject.eng.fl_str_mv Predict
Implied volatility
Realized volatility
EWMA
GARCH
topic Predict
Implied volatility
Realized volatility
EWMA
GARCH
Previsão
Volatilidade implícita
Volatilidade realizada
Economia
Teoria da previsão
Mercado de opções
Engenharia financeira
Bolsa de Valores de São Paulo
dc.subject.por.fl_str_mv Previsão
Volatilidade implícita
Volatilidade realizada
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Teoria da previsão
Mercado de opções
Engenharia financeira
Bolsa de Valores de São Paulo
description In this paper, we analyzed the capacity of the local market to predict the realized volatility based on the implied volatilities of the options listed on the Bovespa index for the period of one month and three months, where the liquidity in the local market is concentrated. To further support the study, we did the analysis of several option deltas, not just restricting ourselves to options in the money. In addition, we compared this forward-looking model of implied volatility, with statistical models such as EWMA and GARCH, which are based on past volatility, and see which is more robust. The results obtained point out that the implied volatility seems to be a good estimator for the future volatility and superior to the other models verified for the maturities of 30 and 90 days. The results remained consistent when we carried out the study for the different options deltas in the sample. The evidence for this dissertation is in line with the findings of Melo (2009) and Vicente and Guedes (2010), which, despite being studies based on local stock options, conclude that the implied volatility is a biased, but efficient estimator.
publishDate 2020
dc.date.accessioned.fl_str_mv 2020-12-01T13:58:11Z
dc.date.available.fl_str_mv 2020-12-01T13:58:11Z
dc.date.issued.fl_str_mv 2020-10-20
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/10438/29874
url https://hdl.handle.net/10438/29874
dc.language.iso.fl_str_mv por
language por
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.source.none.fl_str_mv reponame:Repositório Institucional do FGV (FGV Repositório Digital)
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institution FGV
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https://repositorio.fgv.br/bitstreams/364006c7-77eb-4a17-9308-4ea661b48156/download
https://repositorio.fgv.br/bitstreams/d57802d3-dc48-455a-8bb1-4688adacad95/download
bitstream.checksum.fl_str_mv 8bc48713070dc7576f20b0e9fce302cb
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bitstream.checksumAlgorithm.fl_str_mv MD5
MD5
MD5
MD5
MD5
MD5
repository.name.fl_str_mv Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV)
repository.mail.fl_str_mv
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