O efeito da pandemia de COVID-19 na volatilidade do Ibovespa: uma análise empírica com modelos ARCH

Authors

  • Arthur Henrique Pinheiro Néo Universidade Federal Rural do Semi-Árido (Ufersa)
  • Fabio Lucio Rodrigues Universidade do Estado do Rio Grande do Norte

Keywords:

Análise de Volatilidade, Choques de Mercado, Ibovespa, Pandemia de COVID-19, Volatilidade Condicional

Abstract

How did the COVID-19 pandemic influence the volatility of Ibovespa returns across different periods? To address this question, this study aimed to investigate the effects of reaction, persistence, leverage, and asymmetry on the volatility of Ibovespa returns by applying conditional volatility models. Using daily index data from 2018 to 2023, the analysis was divided into four phases: pre-pandemic, first and second year of the pandemic, and post-pandemic. The results indicate that at the onset of the pandemic, the market demonstrated high sensitivity to negative shocks, while the persistence effect on volatility was more pronounced in the post-pandemic period. The analysis reveals that crises increase volatility and amplify the market's negative reaction to adverse shocks, supporting risk management and loss mitigation strategies within the financial market in times of uncertainty.

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Author Biography

Arthur Henrique Pinheiro Néo, Universidade Federal Rural do Semi-Árido (Ufersa)

Bacharel em Ciências Econômicas pela UERN. Pós-graduando em Gestão Financeira: Controladoria, Auditória e Compliance pela FGV. Presidente da Liga de Investimentos InvestLab da UFERSA. Consultor econômico-financeiro.

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Published

2025-06-26

How to Cite

Pinheiro Néo, A. H., & Rodrigues , F. L. (2025). O efeito da pandemia de COVID-19 na volatilidade do Ibovespa: uma análise empírica com modelos ARCH. Revista De Economia Mackenzie, 22(1), 162–190. Retrieved from http://editorarevistas.mackenzie.br/index.php/rem/article/view/17518

Issue

Vol. 22 No. 1 (2025): Revista de Economia Mackenzie

Section

Artigos

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Copyright (c) 2025 Arthur Henrique Pinheiro Néo, Fabio Lucio Rodrigues

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