Modeling and Forecasting the Volatility of Brazilian Asset Returns: a Realized Variance Approach

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...

Full description

Bibliographic Details
Main Authors: Leonardo R. Souza, Marco Aurélio S. Freire, Marcelo Cunha Medeiros, Marcelo C. Carvalho
Format: Article
Language:English
Published: Brazilian Society of Finance 2006-06-01
Series:Revista Brasileira de Finanças
Subjects:
realized volatility
high frequency data
risk analysis
volatility forecasting
GARCH models
Online Access:http://virtualbib.fgv.br/ojs/index.php/rbfin/article/view/1155

Internet

http://virtualbib.fgv.br/ojs/index.php/rbfin/article/view/1155

Similar Items