A volatilidade implícita como instrumento de previsão para volatilidade futura baseado no mercado de opções do Índice Bovespa
Autor(a) principal: | |
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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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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) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
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Fundação Getulio Vargas (FGV) |
instacron_str |
FGV |
institution |
FGV |
reponame_str |
Repositório Institucional do FGV (FGV Repositório Digital) |
collection |
Repositório Institucional do FGV (FGV Repositório Digital) |
bitstream.url.fl_str_mv |
https://repositorio.fgv.br/bitstreams/8d22b532-4687-423f-8f3a-0c56ff6cdcd7/download https://repositorio.fgv.br/bitstreams/fc6a845f-56c9-4276-a1a3-88dabbbdbc82/download https://repositorio.fgv.br/bitstreams/7db1b344-e1a9-4b03-8c24-35518becaf97/download https://repositorio.fgv.br/bitstreams/a566f1fe-3713-4e8b-9019-0b94c03fdc49/download 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 f121bf656bd9e67cf75e4af16c9751c8 2d06993355cf23b7f84ad20421e8c8ce afb8d0ce3a6116445c9560946ce90932 dfb340242cced38a6cca06c627998fa1 8f4baae5ce050f355a00a1be8c5b8e3c |
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 |
|
_version_ |
1813797616367960064 |