Uma revisão da literatura sobre modelos de volatilidade em estudos brasileiros

Abstract

Volatility is a measure of variability for a variable that must be estimated. The different models used for this purpose have evolved from simple estimators as the standard deviation for more sophisticated models, such as models of GARCH family. In order to analyze the methodological characteristics, empirical evidence and key findings about the studies that have addressed this issue analyzed the articles published between 2000 and 2014, the second major Brazilian maga- zines the QUALIS-CAPES classification 2014. Among the various achievements is evident in the increased use of the statistical approach to estimate volatility, the best performance of GARCH family models when the objective was to compare methodologies and insufficient use of diagnostic testing and decision criteria for validation and selection of best designs respectively