Volatilidade de dados intradiários: comportamento multiescala do Ibovespa frente à pandemia COVID-19

Detalhes bibliográficos
Autor(a) principal: Carvalho, Marcela de Marillac
Data de Publicação: 2021
Outros Autores: Pala, Luiz Otávio de Oliveira, Sáfadi, Thelma
Tipo de documento: Artigo
Idioma: por
Título da fonte: Repositório Institucional da UFLA
Texto Completo: http://repositorio.ufla.br/jspui/handle/1/49687
Resumo: In financial markets, volatility modeling has been a strategy widely used because it reflects uncertainties about changes in asset prices. Incorporating peculiarities of financial series, this study estimated the volatility for the intraday index of the Brazilian stock market (Ibovespa) using ARIMA-APARCH models in different time frequencies with the aid of the wavelet MODWT decomposition technique. This work proposes an analysis of the impacts of the frequency components on the behavior of the volatility of intraday returns using the series of details wavelet in different time horizons, in an atypical period in the global financial markets, generated by the COVID-19 pandemic. The empirical results suggest low unconditional volatility and strong signs of persistence in all analyzed frequencies. The asymmetry in volatility is evidenced in the higher frequencies, the leverage effect being present only in the series of details with variations of 15-120 min., which is corroborated with the results obtained with the reconstructed series. The evidenced behaviors have an impact on the elaboration of short-term investment strategies and risk management, since the positive and negative shocks, such as those given by the world pandemic of COVID-19, have different impacts on the volatility of returns in shorter periods. The information obtained can contribute to the analysis of future atypical events in the Brazilian stock market, supporting the decision-making of economic agents.
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spelling Volatilidade de dados intradiários: comportamento multiescala do Ibovespa frente à pandemia COVID-19Volatility of intraday financial data: Multiscale Ibovespa behavior under to the COVID-19 pandemicIbovespa indexFinancial marketsWavelet transformVolatility modelingÍndice IbovespaMercados financeirosTransformação waveletModelagem de volatilidadeIn financial markets, volatility modeling has been a strategy widely used because it reflects uncertainties about changes in asset prices. Incorporating peculiarities of financial series, this study estimated the volatility for the intraday index of the Brazilian stock market (Ibovespa) using ARIMA-APARCH models in different time frequencies with the aid of the wavelet MODWT decomposition technique. This work proposes an analysis of the impacts of the frequency components on the behavior of the volatility of intraday returns using the series of details wavelet in different time horizons, in an atypical period in the global financial markets, generated by the COVID-19 pandemic. The empirical results suggest low unconditional volatility and strong signs of persistence in all analyzed frequencies. The asymmetry in volatility is evidenced in the higher frequencies, the leverage effect being present only in the series of details with variations of 15-120 min., which is corroborated with the results obtained with the reconstructed series. The evidenced behaviors have an impact on the elaboration of short-term investment strategies and risk management, since the positive and negative shocks, such as those given by the world pandemic of COVID-19, have different impacts on the volatility of returns in shorter periods. The information obtained can contribute to the analysis of future atypical events in the Brazilian stock market, supporting the decision-making of economic agents.Em mercados financeiros, a modelagem da volatilidade vem sendo uma estratégia muito utilizada por refletir as incertezas sobre as variações dos preços dos ativos. Incorporando peculiaridades de séries financeiras, este estudo estimou a volatilidade para o índice intradiário do mercado acionário brasileiro (Ibovespa) por meio de modelos ARIMA-APARCH em diferentes frequências temporais com o auxílio da técnica de decomposição wavelet MODWT. Este trabalho propõe a análise dos impactos dos componentes de frequência no comportamento da volatilidade de retornos intradiários com o uso de séries de detalhes wavelet em diferentes horizontes temporais, em um período atípico nos mercados financeiros mundiais, gerado pela pandemia do COVID-19. Os resultados empíricos sugerem baixa volatilidade incondicional e fortes sinais de persistência em todas as frequências analisadas. A assimetria na volatilidade é evidenciada nas frequências maiores, com efeito alavancagem presente apenas nas séries de detalhes com variações de 15-120 min., o que é corroborado com os resultados obtidos com a série reconstruída. Os comportamentos evidenciados impactam na elaboração de estratégias de investimento de curto prazo e gerenciamento de risco, uma vez que os choques positivos e negativos, como os dados pela pandemia mundial do COVID-19, têm impactos diferenciados sobre a volatilidade dos retornos em prazos menores. As informações obtidas podem contribuir na análise de futuros eventos atípicos no mercado acionário brasileiro embasando a tomada de decisão dos agentes econômicos.Universidade Estadual de Londrina2022-04-06T20:37:48Z2022-04-06T20:37:48Z2021info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfCARVALHO, M. de M.; PALA, L. O. de O.; SÁFADI, T. Volatility of intraday financial data: multiscale Ibovespa behavior under to the COVID-19 pandemic. Semina: Exact and Technological Sciences, [S. l.], v. 42, n. 1, 2021. Suplemento.http://repositorio.ufla.br/jspui/handle/1/49687Semina: Exact and Technological Sciencesreponame:Repositório Institucional da UFLAinstname:Universidade Federal de Lavras (UFLA)instacron:UFLAAttribution-NonCommercial 4.0 Internationalhttp://creativecommons.org/licenses/by-nc/4.0/info:eu-repo/semantics/openAccessCarvalho, Marcela de MarillacPala, Luiz Otávio de OliveiraSáfadi, Thelmapor2023-05-26T19:38:14Zoai:localhost:1/49687Repositório InstitucionalPUBhttp://repositorio.ufla.br/oai/requestnivaldo@ufla.br || repositorio.biblioteca@ufla.bropendoar:2023-05-26T19:38:14Repositório Institucional da UFLA - Universidade Federal de Lavras (UFLA)false
dc.title.none.fl_str_mv Volatilidade de dados intradiários: comportamento multiescala do Ibovespa frente à pandemia COVID-19
Volatility of intraday financial data: Multiscale Ibovespa behavior under to the COVID-19 pandemic
title Volatilidade de dados intradiários: comportamento multiescala do Ibovespa frente à pandemia COVID-19
spellingShingle Volatilidade de dados intradiários: comportamento multiescala do Ibovespa frente à pandemia COVID-19
Carvalho, Marcela de Marillac
Ibovespa index
Financial markets
Wavelet transform
Volatility modeling
Índice Ibovespa
Mercados financeiros
Transformação wavelet
Modelagem de volatilidade
title_short Volatilidade de dados intradiários: comportamento multiescala do Ibovespa frente à pandemia COVID-19
title_full Volatilidade de dados intradiários: comportamento multiescala do Ibovespa frente à pandemia COVID-19
title_fullStr Volatilidade de dados intradiários: comportamento multiescala do Ibovespa frente à pandemia COVID-19
title_full_unstemmed Volatilidade de dados intradiários: comportamento multiescala do Ibovespa frente à pandemia COVID-19
title_sort Volatilidade de dados intradiários: comportamento multiescala do Ibovespa frente à pandemia COVID-19
author Carvalho, Marcela de Marillac
author_facet Carvalho, Marcela de Marillac
Pala, Luiz Otávio de Oliveira
Sáfadi, Thelma
author_role author
author2 Pala, Luiz Otávio de Oliveira
Sáfadi, Thelma
author2_role author
author
dc.contributor.author.fl_str_mv Carvalho, Marcela de Marillac
Pala, Luiz Otávio de Oliveira
Sáfadi, Thelma
dc.subject.por.fl_str_mv Ibovespa index
Financial markets
Wavelet transform
Volatility modeling
Índice Ibovespa
Mercados financeiros
Transformação wavelet
Modelagem de volatilidade
topic Ibovespa index
Financial markets
Wavelet transform
Volatility modeling
Índice Ibovespa
Mercados financeiros
Transformação wavelet
Modelagem de volatilidade
description In financial markets, volatility modeling has been a strategy widely used because it reflects uncertainties about changes in asset prices. Incorporating peculiarities of financial series, this study estimated the volatility for the intraday index of the Brazilian stock market (Ibovespa) using ARIMA-APARCH models in different time frequencies with the aid of the wavelet MODWT decomposition technique. This work proposes an analysis of the impacts of the frequency components on the behavior of the volatility of intraday returns using the series of details wavelet in different time horizons, in an atypical period in the global financial markets, generated by the COVID-19 pandemic. The empirical results suggest low unconditional volatility and strong signs of persistence in all analyzed frequencies. The asymmetry in volatility is evidenced in the higher frequencies, the leverage effect being present only in the series of details with variations of 15-120 min., which is corroborated with the results obtained with the reconstructed series. The evidenced behaviors have an impact on the elaboration of short-term investment strategies and risk management, since the positive and negative shocks, such as those given by the world pandemic of COVID-19, have different impacts on the volatility of returns in shorter periods. The information obtained can contribute to the analysis of future atypical events in the Brazilian stock market, supporting the decision-making of economic agents.
publishDate 2021
dc.date.none.fl_str_mv 2021
2022-04-06T20:37:48Z
2022-04-06T20:37:48Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv CARVALHO, M. de M.; PALA, L. O. de O.; SÁFADI, T. Volatility of intraday financial data: multiscale Ibovespa behavior under to the COVID-19 pandemic. Semina: Exact and Technological Sciences, [S. l.], v. 42, n. 1, 2021. Suplemento.
http://repositorio.ufla.br/jspui/handle/1/49687
identifier_str_mv CARVALHO, M. de M.; PALA, L. O. de O.; SÁFADI, T. Volatility of intraday financial data: multiscale Ibovespa behavior under to the COVID-19 pandemic. Semina: Exact and Technological Sciences, [S. l.], v. 42, n. 1, 2021. Suplemento.
url http://repositorio.ufla.br/jspui/handle/1/49687
dc.language.iso.fl_str_mv por
language por
dc.rights.driver.fl_str_mv Attribution-NonCommercial 4.0 International
http://creativecommons.org/licenses/by-nc/4.0/
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Attribution-NonCommercial 4.0 International
http://creativecommons.org/licenses/by-nc/4.0/
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidade Estadual de Londrina
publisher.none.fl_str_mv Universidade Estadual de Londrina
dc.source.none.fl_str_mv Semina: Exact and Technological Sciences
reponame:Repositório Institucional da UFLA
instname:Universidade Federal de Lavras (UFLA)
instacron:UFLA
instname_str Universidade Federal de Lavras (UFLA)
instacron_str UFLA
institution UFLA
reponame_str Repositório Institucional da UFLA
collection Repositório Institucional da UFLA
repository.name.fl_str_mv Repositório Institucional da UFLA - Universidade Federal de Lavras (UFLA)
repository.mail.fl_str_mv nivaldo@ufla.br || repositorio.biblioteca@ufla.br
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