Modeling The Volatility Presented By Indexes Ivbx-2 And Smll In The Year 2008 Using Models Of The Arch Family

Authors

  • Jevuks Matheus Araujo UFPE
  • Paulo Amilton Maia Leite UFPB

Keywords:

modelos ARCH, volatilidade, IVBX-2, SMLL

Abstract

The financial series are strongly characterized by its volatility, alternating periods of high and low volatility, ie the variance of these series is not constant, varying with time. Thus, the series may have heteroscedastidade financial circumstances. The paper analyzes the behavior of the series of returns of the indices IVBX-2 and SMLL in the year 2008, aiming to identify the volatility of the series. The central axis of the work is theoretical theory of efficient markets, it believes that all relevant information is already incorporated into stock prices, so the price is a good measure of value of shares. The indices studied are characterized as representing hypothetical portfolio consisting of shares of lesser value and lesser liquidity, these characteristics imply a higher risk and higher return associated with investments in such portfolio. The methodology adopted was the use of ARCH models in the family. The implementation of the models indicate the series have similar behavior, with the coefficient which measures the persistence of shocks around 1 and the impacts of these shocks occur so asymmetrical, where the negative shocks have a greater effect than positive shocks .

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Author Biographies

Jevuks Matheus Araujo, UFPE

Doutorando em Economia do Departamento de Economia da Universidade Federal de Pernambuco (UFPE)

Professor do Departamento de Economia da Universidade Federal Rural de Pernambuco (UFRPE) 

Paulo Amilton Maia Leite, UFPB

Doutor em Economia pelo Departamento de Economia da Universidade Federal de Pernanmbuco (UFPE)

 

Professor do Departamento de Economia da Universidade Federal da Paraíba (UFPB)

 

 

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Published

2012-05-30

Issue

Vol. 13 No. 4 (2012)

Section

Strategic Finances

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