VOLATILITY MODELING IN PERIODS OF CRISIS: ANALYSES OF ALTERNATIVE DISTRIBUTIONS IN BRIC AND THE US

  • Fernanda Galvão de Barba Universidade Federal de Santa Maria
  • Paulo Sérgio Ceretta Universidade Federal de Santa Maria
  • Kelmara Mendes Vieira Universidade Federal de Santa Maria
Keywords: Effects of financial crisis of 2008, Time Series, Different Distributions

Abstract

The real estate market crisis in North America in 2007 has strongly affected the capital markets in the US and Europe. Financial crises of the magnitude of that of 2007/2008 bring up important issues about financial markets. This paper investigates how distribution specification influences volatility modeling in the period including the financial crisis of 2007/2008.  Analysis was carried out by using weekly index data from the main stock exchanges of  BRIC (Brazil, Russia, India and China) and the United States, using the APARCH model. The modeling is done in three subdivisions of  the sample considering six different distributions, normal, skewed normal, t-student, skewed  t-student, generalized and skewed generalized. Results of this research showed a variation in the distribution better adjusted during the crisis period, for almost all countries. Variation  in the distributions as well as in the significances and magnitudes of the coefficients can lead to the conclusion  that periods of financial oscillation and instability can influence the modeling of financial series, changing the magnitude and significance of coefficients, and be due to the  contagion  effect.

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Author Biographies

Fernanda Galvão de Barba, Universidade Federal de Santa Maria
Mestre em Administração pelo Programa de Pós-graduação em Administração da Universidade Federal de Santa Maria – Santa Maria, Rio Grande do Sul-RS, Brasil
Paulo Sérgio Ceretta, Universidade Federal de Santa Maria

Professor do Programa de Pós-graduação em Administração da Universidade Federal de Santa Maria – Santa Maria, Rio Grande do Sul-RS, Brasil

Doutor em Engenharia de Produção pela Universidade Federal de São Carlos

Kelmara Mendes Vieira, Universidade Federal de Santa Maria

Professora do Programa de Pós-graduação em Administração da Universidade Federal de Santa Maria – SantaMaria, Rio Grande do Sul-RS, Brasil

Doutora em Administração pela Universidade Federal do Rio Grande do Sul

How to Cite
Barba, F., Ceretta, P. S., & Vieira, K. (1). VOLATILITY MODELING IN PERIODS OF CRISIS: ANALYSES OF ALTERNATIVE DISTRIBUTIONS IN BRIC AND THE US. REGE Revista De Gestão, 18(4), 569-584. https://doi.org/10.5700/rege442
Section
Finanças