Browsing Documentos publicados nas Revistas da Fundação Getulio Vargas by Title "Estimating and forecasting the volatility of Brazilian finance series using arch models"

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Estimating and forecasting the volatility of Brazilian finance series using arch models

Issler, João Victor
1999-05-01

The goal of this paper is to present a comprehensive emprical analysis of the return and conditional variance of four Brazilian financial series using models of the ARCH class. Selected models are then compared regarding ...