Modeling and Forecasting the Volatility of Brazilian Asset Returns: a Realized Variance Approach
The goal of this paper is twofold. First, using five of the most actively traded stocks in the Brazilian financial market, this paper shows that the normality assumption commonly used in the risk management area to describe the distributions of returns standardized by volatilities is not compatible...
Main Authors: | , , , |
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Format: | Article |
Language: | English |
Published: |
Brazilian Society of Finance
2006-06-01
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Series: | Revista Brasileira de Finanças |
Subjects: | |
Online Access: | http://virtualbib.fgv.br/ojs/index.php/rbfin/article/view/1155 |