Modelagem econométrica para forecasting do IFIX

Detalhes bibliográficos
Autor(a) principal: Carvalho, André Luiz de Paula
Data de Publicação: 2019
Tipo de documento: Dissertação
Idioma: por
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: https://hdl.handle.net/10438/28498
Resumo: Este trabalho buscou desenvolver um modelo econométrico capaz de estimar o comportamento futuro do IFIX. Para tanto foram utilizados 3 modelos, além da combinação entre eles. Por se tratar de previsão de um índice relativamente novo, buscou-se utilizar toda a série histórica do índice de 2010 até 2018, período de realização do estudo. Foram realizados testes in sample e out of sample para analisar a capacidade preditiva do melhor modelo encontrado. Os resultados dentro da amostra foram significativamente satisfatórios. Já na estimação fora da amostra houve maior discrepância entre a estatística observada e estimada.
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spelling Carvalho, André Luiz de PaulaEscolas::EPGESouza, Rafael Martins deGonçalves, Edson Daniel LopesCampos, Eduardo Lima2019-11-12T19:34:27Z2019-11-12T19:34:27Z2019https://hdl.handle.net/10438/28498Este trabalho buscou desenvolver um modelo econométrico capaz de estimar o comportamento futuro do IFIX. Para tanto foram utilizados 3 modelos, além da combinação entre eles. Por se tratar de previsão de um índice relativamente novo, buscou-se utilizar toda a série histórica do índice de 2010 até 2018, período de realização do estudo. Foram realizados testes in sample e out of sample para analisar a capacidade preditiva do melhor modelo encontrado. Os resultados dentro da amostra foram significativamente satisfatórios. Já na estimação fora da amostra houve maior discrepância entre a estatística observada e estimada.This research tried to develop an econometric model capable of estimating the future behavior of the IFIX, index for the brazilian real estate investment trust. For that, three econometric models were used, in addition to the combination between them in the attempt to obtain predictive gains. Because it is a relatively new index, it was sought to use the entire historical series of the index, which runs from 2010 to 2018, the period of the study. In and out of sample tests were performed to analyze the predictive capacity of the models. The results within the sample were significantly satisfactory. The results out of sample estimation were satisfatory for give the tendencies. There was a considerable discrepancy between the observed and estimated statistics in the estimatives out of sample.EconometriaCombinação de modelosFundos ImobiliáriosIFIXPrevisãoForecastBrazilian real estate investments trustsEconometricModels combinationÍndice de fundos de investimentos imobiliáriosFundos de investimentosEconometriaÍndices de mercado de açõesModelagem econométrica para forecasting do IFIXinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesis2019-07-09porreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessORIGINALDissertação_v5.pdfDissertação_v5.pdfEste trabalho buscou desenvolver um modelo econométrico capaz de estimar o comportamento futuro do IFIX.application/pdf1063839https://repositorio.fgv.br/bitstreams/8ccc9519-8f87-4e7a-8dd0-73c98ece9ebe/downloaddb43d93e19af7b2495396f6454371177MD51LICENSElicense.txtlicense.txttext/plain; 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dc.title.por.fl_str_mv Modelagem econométrica para forecasting do IFIX
title Modelagem econométrica para forecasting do IFIX
spellingShingle Modelagem econométrica para forecasting do IFIX
Carvalho, André Luiz de Paula
Econometria
Combinação de modelos
Fundos Imobiliários
IFIX
Previsão
Forecast
Brazilian real estate investments trusts
Econometric
Models combination
Índice de fundos de investimentos imobiliários
Fundos de investimentos
Econometria
Índices de mercado de ações
title_short Modelagem econométrica para forecasting do IFIX
title_full Modelagem econométrica para forecasting do IFIX
title_fullStr Modelagem econométrica para forecasting do IFIX
title_full_unstemmed Modelagem econométrica para forecasting do IFIX
title_sort Modelagem econométrica para forecasting do IFIX
author Carvalho, André Luiz de Paula
author_facet Carvalho, André Luiz de Paula
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EPGE
dc.contributor.member.none.fl_str_mv Souza, Rafael Martins de
dc.contributor.member.por.fl_str_mv Gonçalves, Edson Daniel Lopes
dc.contributor.author.fl_str_mv Carvalho, André Luiz de Paula
dc.contributor.advisor1.fl_str_mv Campos, Eduardo Lima
contributor_str_mv Campos, Eduardo Lima
dc.subject.por.fl_str_mv Econometria
Combinação de modelos
Fundos Imobiliários
IFIX
Previsão
topic Econometria
Combinação de modelos
Fundos Imobiliários
IFIX
Previsão
Forecast
Brazilian real estate investments trusts
Econometric
Models combination
Índice de fundos de investimentos imobiliários
Fundos de investimentos
Econometria
Índices de mercado de ações
dc.subject.eng.fl_str_mv Forecast
Brazilian real estate investments trusts
Econometric
Models combination
dc.subject.bibliodata.por.fl_str_mv Índice de fundos de investimentos imobiliários
Fundos de investimentos
Econometria
Índices de mercado de ações
description Este trabalho buscou desenvolver um modelo econométrico capaz de estimar o comportamento futuro do IFIX. Para tanto foram utilizados 3 modelos, além da combinação entre eles. Por se tratar de previsão de um índice relativamente novo, buscou-se utilizar toda a série histórica do índice de 2010 até 2018, período de realização do estudo. Foram realizados testes in sample e out of sample para analisar a capacidade preditiva do melhor modelo encontrado. Os resultados dentro da amostra foram significativamente satisfatórios. Já na estimação fora da amostra houve maior discrepância entre a estatística observada e estimada.
publishDate 2019
dc.date.accessioned.fl_str_mv 2019-11-12T19:34:27Z
dc.date.available.fl_str_mv 2019-11-12T19:34:27Z
dc.date.issued.fl_str_mv 2019
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
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url https://hdl.handle.net/10438/28498
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