Browsing FGV EPGE - Ensaios Econômicos by Title "Estimating and forecasting the volatility of Brazilian finance series using arch models (Preliminary Version)"

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Estimating and forecasting the volatility of Brazilian finance series using arch models (Preliminary Version)

Issler, João Victor
1999-06-01

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