Trabalho de Conclusão de Curso de Especialização
Assimetria do Ibovespa: um estudo comparativo entre modelos heterocedásticos
Fecha
2023-04-06Autor
Kobunda, Christian Ndege
Institución
Resumen
The present study proposes a comparative analysis of six volatility models for the
theoretical portfolio returns of the Ibovespa, considering the presence of heavy
tails, non-linearity, asymmetry, long memory, and non-normality of daily returns.
For this, the stylized factors of the Bovespa index were tested in their first and
second statistical moments in the period from January 3, 2001, to December 30,
2022. The results show that there is a persistence effect since the sum of the
coefficients of the variables at t-1 is high and close to 1. Furthermore, the
sGARCH (1.1) and GJR-GARCH (1.1) models indicate that positive and negative
shocks impact the index in a similar way. The EGARCH (1.1) and TGARCH (1.1)
models show that there is a difference between the impacts of positive and
negative shocks on volatility, and the last two also point to the “leverage effect”,
that is, volatility is higher in periods of negative shocks.