Previsão da volatilidade da taxa de câmbio USD-BRL usando dados da volatilidade esperada e volatilidade realizada

Autores

DOI:

https://doi.org/10.1590/0101-41614845cca

Palavras-chave:

Previsão de Volatilidade, Modelos GARCH, Mercado de Câmbio no Brasil, Índices de volatilidade implícita

Resumo

Este artigo avalia o impacto de variáveis exógenas nos modelos GARCH, quando aplicado
às previsões de volatilidade para o mercado de câmbio brasileiro USD-BRL. Como variáveis
exógenas, foram utilizadas a variância realizada, baseada em dados de alta frequência, e o
índice FXVol, baseado em dados de volatilidade implícita no mercado. Este é o primeiro estudo
a utilizar o índice FXVol e a investigar seus efeitos sobre a volatilidade cambial brasileira.
Os resultados indicam significância estatística da superioridade dos modelos estendidos ao
prever a volatilidade. Concluímos que os dados de alta frequência e a volatilidade implícita do
mercado contêm informações relevantes com relação à volatilidade cambial do USD-BRL. Essas
descobertas são relevantes para hedgers, especuladores e profissionais em geral.

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Biografia do Autor

Carlos Heitor Campani, Universidade Federal do Rio de Janeiro. COPPEAD Graduate School of Business

COPPEAD Graduate School of Business - Professor of Finance

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Publicado

2018-12-01

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