DISTRIBUTIONS OF RETURNS, VOLATILITIES AND CORRELATIONS IN THE BRAZILIAN STOCK MARKET / DISTRIBUIÇÕES DE RETORNOS, VOLATILIDADES E CORRELAÇÕES NO MERCADO ACIONÁRIO BRASILEIRO

AUTOR(ES)

MARCO AURELIO SIMAO FREIRE

DATA DE PUBLICAÇÃO

2004

RESUMO

The normality assumption is commonly used in the risk management area to describe the distributions of returns standardized by volatilities. However, using five of the most actively traded stocks in Bovespa, this paper shows that this assumption is not compatible with volatilities estimated by EWMA or GARCH models. In sharp contrast, when we use the information contained in high frequency data to construct the realized volatilies measures, we attain the normality of the standardized returns, giving promise of improvements in Value at Risk statistics. We also describe the distributions of volatilities and correlations of the brazilian stocks, showing that the distributions of volatilities are nearly lognormal and the distribuitions of correlations are nearly Gaussian. All analysis is traced both in a univariate and a multivariate framework and provides background for improved high-dimensional volatility and correlation modelling in the brazilian stock market.

ASSUNTO(S)

distribuicoes de retornos analise de risco return distributions volatilidade realizada multivariate garch models realized volatility high frequency data analysis of risk modelos garch multivariados dados de alta freqÜencia

Documentos Relacionados

• THE RELATIONSHIP BETWEEN IDIOSYNCRATIC RISK AND STOCK RETURNS IN THE BRAZILIAN STOCK MARKET
• Os Retornos no Mercado Acionário Brasileiro e a Distribuição Hiperbólica - Um Estudo Empírico
• Fatores comuns de mercado, tamanho, valor e diferenciais de juros nos retornos das ações do mercado brasileiro
• Assets Pricing in the Brazilian Stock market: CAPM and variants application.
• EstratÃgia Ativa no Mercado AcionÃrio Brasileiro: otimizaÃÃo ou aposta na winners?