Análise das ações preferenciais da metalúrgica Gerdau por meio de modelos estocásticos

Abstract

This study presents a stochastic analysis of the preferred shares of Gerdau Metallurgy, since the momentary trading value of trading stock rarely reflects the true value of the company that the paper represents, will be used from the analysis of time series as an aid tool for the investment in the capital market. Thus, this research aims at modeling the end-of-day price series of the preferred shares of Metalúrgica Gerdau, referring to the average and the volatility. To fulfill these objectives, the models ARIMA and ARCH were worked on, dealing with the average and the uncertainties about the future values of negotiations in the capital market. The analyzed data were obtained through the electronic portal Yahoo Finances, with the analysis of these being carried out from the tools of analysis of time series offered by the programming language R. With the obtained results demonstrating the ability of the models in describing the series under study, as well as the complexity of these, given the various points to be considered.