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dc.contributor.advisorDouat, João Carlos
dc.contributor.authorFarias Filho, Antonio Coelho Bezerra de
dc.contributor.otherSicsú, Abraham Laredo
dc.contributor.otherSalim, Jean Jacques
dc.date.accessioned2010-04-20T20:14:59Z
dc.date.available2010-04-20T20:14:59Z
dc.date.issued1998-02-13
dc.identifier.citationFARIAS FILHO, Antônio Coelho Bezerra de. Avaliação do value at risk do Índice Bovespa usando os modelos garch, tarch e riskmetrics tm para se estimar a volatilidade. Dissertação (Mestrado em Administração de Empresas) - FGV - Fundação Getúlio Vargas, São Paulo, 1998.
dc.identifier.urihttp://hdl.handle.net/10438/4852
dc.description.abstractApresenta o método value at risk (VaR) para se mensurar o risco de mercado, sob diferentes abordagens. Analisa a série histórica do índice Bovespa no período de 1995 a 1996 por meio de testes econométricos de normalidade, autocorrelação dos retornos e raiz unitária. Comparo valor obtido a partir dos diferentes modelos de estimação de volatilidade propostos e verifica qual dos modelos foi o mais adequado para o caso estudado.por
dc.description.abstractThe purpose of this dissertation is to compare the performance of three methods of volatility estimating used for value at risk models: an exponentially weighted moving average (RiskMetrics TM), GARCH (Generalized Autoregressive Conditional Heteroscedasticity) and TARCH (Threshold model). Concerning the latter, we decided to test it, given that GARCH models cannot properly capture the leverage etTect (negative shocks have a larger impact on volatility than positive shocks). The sample covers the daily São Paulo Stock Exchange index from 2 January 1995 to 30 December 1996. The test results indicated that the alternative models did not outperform RiskMetrics™ under the particular market conditions observed in the time period studied. Despite the fact that TARCH model can cope with negative or positive skewness, this model did not provide better results than RiskMetrics™. It seems to be reasonable not to attempt to make any general statement that one method is undoubtedly superior to another, given that test results may depend on the data period employed.eng
dc.language.isopor
dc.subjectRisco de mercadopor
dc.subjectVolatilidadepor
dc.subjectModelo GARCHpor
dc.subjectModelo TARCHpor
dc.subjectValue at riskeng
dc.subjectRiskMetricseng
dc.titleAvaliação do value at risk do índice Bovespa usando os modelos garch, tarch e riskmetrics tm para se estimar a volatilidadepor
dc.typeDissertationeng
dc.subject.areaAdministração de empresaspor
dc.contributor.unidadefgvEscolas::EAESPpor
dc.subject.bibliodataRisco (Economia)por
dc.subject.bibliodataMercado financeiro - Modelos econométricospor
dc.rights.accessRightsopenAccesseng


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