Modelos de previsão de volatilidade: uma aplicação do modelo GARCH a taxas de câmbio
Ano de defesa: | 2014 |
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Autor(a) principal: | |
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Banca de defesa: | |
Tipo de documento: | Dissertação |
Tipo de acesso: | Acesso aberto |
Idioma: | por |
Instituição de defesa: |
Não Informado pela instituição
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Programa de Pós-Graduação: |
Não Informado pela instituição
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Departamento: |
Não Informado pela instituição
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País: |
Não Informado pela instituição
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Palavras-chave em Português: | |
Link de acesso: | http://hdl.handle.net/10438/11984 |
Resumo: | In order to show an application of GARCH models to exchange rates, we used statistical techniques such as principal component analysis and multivariate time series analysis to model mean and variance (volatility). The use of principal component analysis helps to reduce the dataset size and lead to fit fewer models, without losing original set information. The use of GARCH models is justified by the presence of heteroskedasticity on the exchange rates returns variance. Based on the fitted models new daily series were simulated, using Monte Carlo method (MC), and used to create confidence interval estimates for exchange rates future scenarios. For the proposed application were chosen exchange rates with bigger market share according to the BIS study, released every three years. |
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Miguel Neto, Fernando AntonioEscolas::EESPMarques, Alessandro MartimGrisi, Rafael de MattosPinto, Afonso de Campos2014-09-01T12:42:06Z2014-09-01T12:42:06Z2014-08-04MIGUEL NETO, Fernando Antonio. Modelos de previsão de volatilidade: uma aplicação do modelo GARCH a taxas de câmbio. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2014.http://hdl.handle.net/10438/11984In order to show an application of GARCH models to exchange rates, we used statistical techniques such as principal component analysis and multivariate time series analysis to model mean and variance (volatility). The use of principal component analysis helps to reduce the dataset size and lead to fit fewer models, without losing original set information. The use of GARCH models is justified by the presence of heteroskedasticity on the exchange rates returns variance. Based on the fitted models new daily series were simulated, using Monte Carlo method (MC), and used to create confidence interval estimates for exchange rates future scenarios. For the proposed application were chosen exchange rates with bigger market share according to the BIS study, released every three years.Com o objetivo de mostrar uma aplicação dos modelos da família GARCH a taxas de câmbio, foram utilizadas técnicas estatísticas englobando análise multivariada de componentes principais e análise de séries temporais com modelagem de média e variância (volatilidade), primeiro e segundo momentos respectivamente. A utilização de análise de componentes principais auxilia na redução da dimensão dos dados levando a estimação de um menor número de modelos, sem contudo perder informação do conjunto original desses dados. Já o uso dos modelos GARCH justifica-se pela presença de heterocedasticidade na variância dos retornos das séries de taxas de câmbio. Com base nos modelos estimados foram simuladas novas séries diárias, via método de Monte Carlo (MC), as quais serviram de base para a estimativa de intervalos de confiança para cenários futuros de taxas de câmbio. Para a aplicação proposta foram selecionadas taxas de câmbio com maior market share de acordo com estudo do BIS, divulgado a cada três anos.porAnálise MultivariadaModelos GARCHVolatilidadeModelos financeirosEconomiaModelos econométricosMercado financeiroTaxas de câmbioAnálise de componentes principaisModelos de previsão de volatilidade: uma aplicação do modelo GARCH a taxas de câmbioinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessORIGINALDISSERTACAO-FERNANDO A. M. NETO.pdfDISSERTACAO-FERNANDO A. M. 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InstitucionalPRI |
dc.title.por.fl_str_mv |
Modelos de previsão de volatilidade: uma aplicação do modelo GARCH a taxas de câmbio |
title |
Modelos de previsão de volatilidade: uma aplicação do modelo GARCH a taxas de câmbio |
spellingShingle |
Modelos de previsão de volatilidade: uma aplicação do modelo GARCH a taxas de câmbio Miguel Neto, Fernando Antonio Análise Multivariada Modelos GARCH Volatilidade Modelos financeiros Economia Modelos econométricos Mercado financeiro Taxas de câmbio Análise de componentes principais |
title_short |
Modelos de previsão de volatilidade: uma aplicação do modelo GARCH a taxas de câmbio |
title_full |
Modelos de previsão de volatilidade: uma aplicação do modelo GARCH a taxas de câmbio |
title_fullStr |
Modelos de previsão de volatilidade: uma aplicação do modelo GARCH a taxas de câmbio |
title_full_unstemmed |
Modelos de previsão de volatilidade: uma aplicação do modelo GARCH a taxas de câmbio |
title_sort |
Modelos de previsão de volatilidade: uma aplicação do modelo GARCH a taxas de câmbio |
author |
Miguel Neto, Fernando Antonio |
author_facet |
Miguel Neto, Fernando Antonio |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EESP |
dc.contributor.member.none.fl_str_mv |
Marques, Alessandro Martim Grisi, Rafael de Mattos |
dc.contributor.author.fl_str_mv |
Miguel Neto, Fernando Antonio |
dc.contributor.advisor1.fl_str_mv |
Pinto, Afonso de Campos |
contributor_str_mv |
Pinto, Afonso de Campos |
dc.subject.por.fl_str_mv |
Análise Multivariada Modelos GARCH Volatilidade Modelos financeiros |
topic |
Análise Multivariada Modelos GARCH Volatilidade Modelos financeiros Economia Modelos econométricos Mercado financeiro Taxas de câmbio Análise de componentes principais |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Modelos econométricos Mercado financeiro Taxas de câmbio Análise de componentes principais |
description |
In order to show an application of GARCH models to exchange rates, we used statistical techniques such as principal component analysis and multivariate time series analysis to model mean and variance (volatility). The use of principal component analysis helps to reduce the dataset size and lead to fit fewer models, without losing original set information. The use of GARCH models is justified by the presence of heteroskedasticity on the exchange rates returns variance. Based on the fitted models new daily series were simulated, using Monte Carlo method (MC), and used to create confidence interval estimates for exchange rates future scenarios. For the proposed application were chosen exchange rates with bigger market share according to the BIS study, released every three years. |
publishDate |
2014 |
dc.date.accessioned.fl_str_mv |
2014-09-01T12:42:06Z |
dc.date.available.fl_str_mv |
2014-09-01T12:42:06Z |
dc.date.issued.fl_str_mv |
2014-08-04 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.citation.fl_str_mv |
MIGUEL NETO, Fernando Antonio. Modelos de previsão de volatilidade: uma aplicação do modelo GARCH a taxas de câmbio. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2014. |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/11984 |
identifier_str_mv |
MIGUEL NETO, Fernando Antonio. Modelos de previsão de volatilidade: uma aplicação do modelo GARCH a taxas de câmbio. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2014. |
url |
http://hdl.handle.net/10438/11984 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.source.none.fl_str_mv |
reponame:Repositório Institucional do FGV (FGV Repositório Digital) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
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FGV |
institution |
FGV |
reponame_str |
Repositório Institucional do FGV (FGV Repositório Digital) |
collection |
Repositório Institucional do FGV (FGV Repositório Digital) |
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