Dynamic analysis of volatility for the brazilian stock market sector: a aplication of MRS-GARCH model

• Autor(a) principal: Conte, Bruno Pereira
• Data de Publicação: 2022
• Outros Autores: Ceretta, Paulo Sérgio
• Tipo de documento: Artigo
• Idioma: por
• Título da fonte: RACE (Joaçaba. Online)
• Texto Completo: https://periodicos.unoesc.edu.br/race/article/view/20975
• topic: Índices setoriais; Mercado brasileiro; Volatilidade; Regimes de volatilidade; Sector indexes; Brazilian stock market; Volatility; Switching volatility regimes

In this study, a analysis the dynamic of volatility was proposed in the Brazilian stock market sectors, thus making a study in the main sector indexes of B3. It was used the model of Markov Switching Regimes. As results, initially we observed the absence of leverage effect in the most part of the series. In addition, there was a predominance of asymmetry as well as the persistence of volatility for most part of regimes from the series. It was observed too, that there was a great similarity between the Brazilian stock market and the financial sector, both with very closely regimes, besides having volatility with a characteristic of greater persistence after the year of 2013. Another similarity found was between the Public Utilities sector and the Eletric Energy sector, both characterized by the great alternation between the estimated regimes. Thus, it was possible to conclude that each sector of the Brazilian stock market has an idiosyncratic behavior, and the volatility of its returns was captured by the different estimated regimes, a finding that contributes to future sectorial evaluations of the Brazilian market.