Modelos de volatilidade estatística
ISHIZAWA, Danilo Kenji. Modelos de volatilidade estatística. 2008. 74 f. Dissertação (Mestrado em Ciências Exatas e da Terra) - Universidade Federal de São Carlos, São Carlos, 2008.
Ishizawa, Danilo Kenji
In the financial market usually notices are taken of the shares sequentially over the time in order to characterize them a time series. However, the major interest is to forecast the behavior of these shares. Motivated by this fact, a lot of models were created based on the past information considering constant averages and variance over time. Although, in financial series a feature often presented is called volatility, which can be noticed by the variance to vary in time. In order to catch this characteristic were developed the models of the family GARCH, that model the conditional variance through known information. These models were well used and have passed by many formulation modifications to be able to catch different effects, such as the effect leverage EGARCH. Thus, the goal is to estimate volatility patterns obeying the specifications of the family GARCH verifying which ones of them describe better the data inside and outside the sample.