Estimating and forecasting the volatility of Brazilian finance series using arch models (Preliminary Version)
Autor(a) principal: | |
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Data de Publicação: | 1999 |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/577 |
Resumo: | The goal of this paper is to present a comprehensive emprical analysis of the return and conditional variance of four Brazilian …nancial series using models of the ARCH class. Selected models are then compared regarding forecasting accuracy and goodness-of-…t statistics. To help understanding the empirical results, a self-contained theoretical discussion of ARCH models is also presented in such a way that it is useful for the applied researcher. Empirical results show that although all series share ARCH and are leptokurtic relative to the Normal, the return on the US$ has clearly regime switching and no asymmetry for the variance, the return on COCOA has no asymmetry, while the returns on the CBOND and TELEBRAS have clear signs of asymmetry favoring the leverage e¤ect. Regarding forecasting, the best model overall was the EGARCH(1; 1) in its Gaussian version. Regarding goodness-of-…t statistics, the SWARCH model did well, followed closely by the Student-t GARCH(1; 1) |
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Issler, João VictorEscolas::EPGEFGV2008-05-13T15:27:07Z2010-09-23T18:58:18Z2008-05-13T15:27:07Z2010-09-23T18:58:18Z1999-06-010104-8910http://hdl.handle.net/10438/577The goal of this paper is to present a comprehensive emprical analysis of the return and conditional variance of four Brazilian …nancial series using models of the ARCH class. Selected models are then compared regarding forecasting accuracy and goodness-of-…t statistics. To help understanding the empirical results, a self-contained theoretical discussion of ARCH models is also presented in such a way that it is useful for the applied researcher. Empirical results show that although all series share ARCH and are leptokurtic relative to the Normal, the return on the US$ has clearly regime switching and no asymmetry for the variance, the return on COCOA has no asymmetry, while the returns on the CBOND and TELEBRAS have clear signs of asymmetry favoring the leverage e¤ect. Regarding forecasting, the best model overall was the EGARCH(1; 1) in its Gaussian version. Regarding goodness-of-…t statistics, the SWARCH model did well, followed closely by the Student-t GARCH(1; 1)engEscola de Pós-Graduação em Economia da FGVEnsaios Econômicos;347Estimating and forecasting the volatility of Brazilian finance series using arch models (Preliminary Version)info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleEconomiaEconomiareponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessTHUMBNAIL1200.pdf.jpg1200.pdf.jpgGenerated Thumbnailimage/jpeg4202https://repositorio.fgv.br/bitstreams/630d6dfd-53dd-436e-9e22-a188ff9a205a/download6148eedf6a4a7244b5b5132984f6987fMD58ORIGINAL1200.pdfapplication/pdf560337https://repositorio.fgv.br/bitstreams/0885a412-a3b6-4acc-83b6-7718d4ad0916/download3b92270a1edc216d1624960d858599a1MD52TEXT1200.pdf.txt1200.pdf.txtExtracted texttext/plain85469https://repositorio.fgv.br/bitstreams/169a4539-ed47-49ca-af33-a9a2a598096d/download31e8f5c8e52163b696e2853e34859640MD5710438/5772023-11-09 21:19:36.955open.accessoai:repositorio.fgv.br:10438/577https://repositorio.fgv.brRepositório InstitucionalPRIhttp://bibliotecadigital.fgv.br/dspace-oai/requestopendoar:39742023-11-09T21:19:36Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV)false |
dc.title.eng.fl_str_mv |
Estimating and forecasting the volatility of Brazilian finance series using arch models (Preliminary Version) |
title |
Estimating and forecasting the volatility of Brazilian finance series using arch models (Preliminary Version) |
spellingShingle |
Estimating and forecasting the volatility of Brazilian finance series using arch models (Preliminary Version) Issler, João Victor Economia Economia |
title_short |
Estimating and forecasting the volatility of Brazilian finance series using arch models (Preliminary Version) |
title_full |
Estimating and forecasting the volatility of Brazilian finance series using arch models (Preliminary Version) |
title_fullStr |
Estimating and forecasting the volatility of Brazilian finance series using arch models (Preliminary Version) |
title_full_unstemmed |
Estimating and forecasting the volatility of Brazilian finance series using arch models (Preliminary Version) |
title_sort |
Estimating and forecasting the volatility of Brazilian finance series using arch models (Preliminary Version) |
author |
Issler, João Victor |
author_facet |
Issler, João Victor |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EPGE |
dc.contributor.affiliation.none.fl_str_mv |
FGV |
dc.contributor.author.fl_str_mv |
Issler, João Victor |
dc.subject.area.por.fl_str_mv |
Economia |
topic |
Economia Economia |
dc.subject.bibliodata.por.fl_str_mv |
Economia |
description |
The goal of this paper is to present a comprehensive emprical analysis of the return and conditional variance of four Brazilian …nancial series using models of the ARCH class. Selected models are then compared regarding forecasting accuracy and goodness-of-…t statistics. To help understanding the empirical results, a self-contained theoretical discussion of ARCH models is also presented in such a way that it is useful for the applied researcher. Empirical results show that although all series share ARCH and are leptokurtic relative to the Normal, the return on the US$ has clearly regime switching and no asymmetry for the variance, the return on COCOA has no asymmetry, while the returns on the CBOND and TELEBRAS have clear signs of asymmetry favoring the leverage e¤ect. Regarding forecasting, the best model overall was the EGARCH(1; 1) in its Gaussian version. Regarding goodness-of-…t statistics, the SWARCH model did well, followed closely by the Student-t GARCH(1; 1) |
publishDate |
1999 |
dc.date.issued.fl_str_mv |
1999-06-01 |
dc.date.accessioned.fl_str_mv |
2008-05-13T15:27:07Z 2010-09-23T18:58:18Z |
dc.date.available.fl_str_mv |
2008-05-13T15:27:07Z 2010-09-23T18:58:18Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
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article |
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publishedVersion |
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http://hdl.handle.net/10438/577 |
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0104-8910 |
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0104-8910 |
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http://hdl.handle.net/10438/577 |
dc.language.iso.fl_str_mv |
eng |
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eng |
dc.relation.ispartofseries.por.fl_str_mv |
Ensaios Econômicos;347 |
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info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.publisher.none.fl_str_mv |
Escola de Pós-Graduação em Economia da FGV |
publisher.none.fl_str_mv |
Escola de Pós-Graduação em Economia da FGV |
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