文章基本信息

标题：VOLATILITY OF STOCK INDEX MID-LARGE CAP AND SMALL CAP: AN INVESTIGATION FROM ARIMA/GARCH MODELS
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作者：Anderson Luiz Rezende Mól, Israel José dos Santos Felipe, Franklin Medeiros Galvão Júnior
期刊名称：Revista de Gestão, Finanças e Contabilidade
印刷版ISSN：2238-5320
出版年度：2014
期号：1813
页码：04-29
出版社：University of State of Bahia
摘要：The aim of this study is to investigate the existence of persistence and asymmetry in the volatility structure of indexes returns of Mid-Large Cap and Small Cap through models of time series of symmetric and asymmetric GARCH class with Gaussian probability distribution, Student's t and GED distributions. The underlying purpose of the study is that the disclosure of the structure of propagating the volatility of returns of these two theoretical portfolios can provide important elements for proper construction of optimal hedging strategies and risk management. As main results, there is evidence of greater persistence and asymmetry in volatility Small Cap Series The quality criteria used in setting indicated, for both series, one TARCH model with Student's t distribution. The empirical results suggest that the implementation of policies that encourage the use of hedging instruments for equity portfolios should incorporate pronounced persistence of shocks in the volatility. Still, models with t-student distribution obtained better adjustments for the series. The data used represent daily rates between the years 2005 and 2011.