Use este identificador para citar ou linkar para este item: http://repositorio.ufla.br/jspui/handle/1/50662
Título: Modeling volatility’s long-range persistence and asymmetry effect of Bradesco bank stock prices using garchmodels
Palavras-chave: Time series
Forecasting
Financial data
GARCH extensions
Séries temporais
Dados financeiros
Data do documento: Mar-2021
Editor: International Journal of Development Research
Citação: THOMAZ, P. S. et al. Modeling volatility’s long-range persistence and asymmetry effect of Bradesco bank stock prices using garchmodels. International Journal of Development Research, [S. l.], v. 11, n. 3, p. 45532-45543, Mar. 2021. DOI: 10.37118/ijdr.21385.03.2021.
Resumo: The main aim of this paper is to evaluate and model both leverage effect and persistent volatility of Bradesco Bank stock shares (BBDC3). The leverage effect was measured through the generalized autoregressive conditional heteroscedasticity (GARCH) model and some of its extensions, such as EGARCH, NGARCH, APGARCH, ALLGARCH, IGARCH, CGARCH and FIGARCH. The orical basis: These are mainly asymmetrical extensions that were chosen since they can overcome the possible limitation that negative returns might have a bigger impact in volatility than positive ones in this type of data. Results indicated that the most common used goodness-of-fit information criteria might not be a sufficient measurement for comparing different kinds of GARCH models for forecasting and, for this reason, it might be necessary to consider other important volatility characteristics, such as long-range persistence. In BBDC3 returns, despite CGARCH model slightly overestimated the central tendency, it still significantly outperformed the asymmetric extensions of GARCH model.
URI: http://repositorio.ufla.br/jspui/handle/1/50662
Aparece nas coleções:DES - Artigos publicados em periódicos



Este item está licenciada sob uma Licença Creative Commons Creative Commons