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ALTERNATIVE MODELS TO EXTRACT ASSET VOLATILITY: A COMPARATIVE STUDY

Brazilian Review of Econometrics

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Title ALTERNATIVE MODELS TO EXTRACT ASSET VOLATILITY: A COMPARATIVE STUDY
ALTERNATIVE MODELS TO EXTRACT ASSET VOLATILITY: A COMPARATIVE STUDY
 
Creator Pereira, Pedro L. Valls; Department of Statistics USP and IBMEC Business School.
Hotta, Luiz K.; Department of Statistics UNICAMP.
Souza, Luiz Alvares R. de; Department of Statistics UNICAMP.
Almeida, Nuno Miguel C. G. de; Department of Economics USP.
 
Subject Volatility; GARCH; stochastic volatility; SWARCH; prediction.
C22; C52; G10.
Volatility; GARCH; stochastic volatility; SWARCH; prediction.
C22; C52; G10.
 
Description This paper presents an empirical comparison of the estimation of the volatility of three Brazilian financial series: a Brazilian Brady bond (the Cbond), a stock (Telebrás PN) and the Brazilian Real/US Dollar exchange rate, using different modelling methods. The models used are: XARCH family, Stochastic Volatility (SV) and the switching in the variance model (SWARCH). The comparison is done using three criteria: loss functions, which compare the square of the estimated volatility with the instantaneous volatility, a procedure proposed by Herencia et alii (1998) which used prediction confidence intervals and one-stepahead prediction, and a prediction exercise for the last 100 observations. In general the SV model presented the best performance although it is dominated by other models in some criteria.
Este artigo compara métodos de estimação de volatilidade para diversos ativos, a saber, a taxa de câmbio real por dólar, título da dívida brasileira Cbond e a série de Telebrás PN. Os métodos de estimação são: os da família XARCH, Volatilidade Estocástica (VE) e de Mudança Markoviana de Regime na Variância (SWARCH). As comparações, para todas as séries, são feitas usando-se três critérios: funções de perda que comparam o quadrado da volatilidade estimada com a variância instantânea, o procedimento proposto por Herencia et alii (1998) que utiliza intervalos de previsão a um passo a frente, e um exercício preditivo para as últimas 100 observações. Podemos afirmar que o Modelo de Volatilidade Estocástica é aquele que apresenta melhor desempenho, embora seja dominado em alguns dos critérios pelos outros modelos.
 
Publisher Sociedade Brasileira de Econometria
 
Date 1999-05-01
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
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Format application/pdf
 
Identifier http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/2793
10.12660/bre.v19n11999.2793
 
Source Brazilian Review of Econometrics; Vol 19, No 1 (1999); 57-109
Brazilian Review of Econometrics; Vol 19, No 1 (1999); 57-109
1980-2447
 
Language eng
 
Relation http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/2793/1706