Modelagem econométrica para forecasting do IFIX

Abstract

Este trabalho buscou desenvolver um modelo econométrico capaz de estimar o comportamento futuro do IFIX. Para tanto foram utilizados 3 modelos, além da combinação entre eles. Por se tratar de previsão de um índice relativamente novo, buscou-se utilizar toda a série histórica do índice de 2010 até 2018, período de realização do estudo. Foram realizados testes in sample e out of sample para analisar a capacidade preditiva do melhor modelo encontrado. Os resultados dentro da amostra foram significativamente satisfatórios. Já na estimação fora da amostra houve maior discrepância entre a estatística observada e estimada.

This research tried to develop an econometric model capable of estimating the future behavior of the IFIX, index for the brazilian real estate investment trust. For that, three econometric models were used, in addition to the combination between them in the attempt to obtain predictive gains. Because it is a relatively new index, it was sought to use the entire historical series of the index, which runs from 2010 to 2018, the period of the study. In and out of sample tests were performed to analyze the predictive capacity of the models. The results within the sample were significantly satisfactory. The results out of sample estimation were satisfatory for give the tendencies. There was a considerable discrepancy between the observed and estimated statistics in the estimatives out of sample.