Banca de QUALIFICAÇÃO: DENISE CORREIA DE OLIVEIRA

Uma banca de QUALIFICAÇÃO de MESTRADO foi cadastrada pelo programa.
DISCENTE : DENISE CORREIA DE OLIVEIRA
DATA : 13/06/2018
HORA: 09:00
LOCAL: NEPSA II
TÍTULO:

INTRADAY VALUE AT RISK, VOLATILITY CONDITIONAL AND PROBABILITY OF DISTRIBUTIONS:EVIDENCES TO IBOVESPA

PALAVRAS-CHAVES:

Intraday data. Volatility models. Value at Risk

PÁGINAS: 92
GRANDE ÁREA: Ciências Sociais Aplicadas
ÁREA: Administração
RESUMO:

This research aims to update and expand the investigation found in Lemgruber and Moreira (2004) and Cappa and Valls Pereira (2010) referring on the use of high frequency data in the estimation of daily and intraday volatility of the IBOVESPA and its subsequent application to the pricing on 1the value at risk (VaR).  The models of the ARCH family of short and long memory are estimated from four distributions (Normal, Student t, Student t-asymmetric and GED) and are used in conjunction with deterministic methods of intraday seasonal filtering and by day of the week according to the method proposed by Taylor and Xu (1997) for predicting volatility and intraday VaR. Moreover, The Daily returns of the Ibovespa were used as well as the returns composed continuously of 5, 10 and 60 minutes for the intraday series. The data window comprises the period from January 2012 to September 2015.The results suggest the presence of long memory in the intraday returns according to the estimates of conditional volatility models with emphasis on the models (FIGARCH and FIAPARCH). In addition, the filtering of the seasonal patterns brought improvements to the VaR, according to the findings of Moreira and Lemgruber (2004), Cappa and Valls Pereira (2010). Regarding the frequency of the data, the 60-minute series presented superior results for the calculation of intraday VaR. However, in the series with frequencies of 5 and 10 minutes the FIAPARCH models with asymmetric Student t-distribution presented good performance.

MEMBROS DA BANCA:
Presidente - 1543333 - ANDERSON LUIZ REZENDE MOL
Interno - 1802347 - VINICIO DE SOUZA E ALMEIDA
Externo à Instituição - MELQUIADES PEREIRA DE LIMA JUNIOR - IFRN