| Name: | Description: | Size: | Format: | |
|---|---|---|---|---|
| 1.26 MB | Adobe PDF |
Authors
Advisor(s)
Abstract(s)
A volatilidade é essencial para avaliar o risco nos investimentos, sendo um indicador chave do mercado. Quando há assimetria na volatilidade, com maior risco de queda do que de alta, isso influencia fortemente as decisões de investimento dos investidores. Este estudo analisa a volatilidade nos mercados de ações dos BRICS. Inicialmente são apresentados os principais conceitos e características padrão relacionados à volatilidade posteriormente aferir a volatilidade através do modelo simétrico Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) para obtenção de resultados robustos também foram usados os modelos assimétricos Exponential General Autoregressive Conditional Heteroskedastic (EGARCH) e Glosten-Jagannathan-Runkle Generalized Autoregressive Conditional (GJR-GARCH).
Os resultados revelam a existência de assimetria negativa na volatilidade das rendibilidades dos índices Bovespa, BSE 500, IRTS e JSE 40, indicando que eventos negativos tendem a ter um impacto mais pronunciado na volatilidade dos preços dos ativos do que eventos positivos. O índice BSE 500 apresentou a maior assimetria negativa, seguido pelo IRTS e pelo Bovespa, enquanto o JSE 40 exibiu a menor
assimetria negativa. Por outro lado, o índice SSEC não demonstrou evidência de assimetria na volatilidade, sugerindo que eventos positivos e negativos têm um impacto semelhante na volatilidade dos preços dos ativos desse índice.
O estudo visou investigar a assimetria na volatilidade dos BRICS, recolhemos base de dados para o período compreendido entre 1 de fevereiro de 2010 e 9 de fevereiro 2024 o que totalizou 3.660 observações, e de todos os países que BRICS, o único que não tem assimetria é a China.
Volatility is essential for assessing investment risk, serving as a key market indicator. When there is asymmetry in volatility, with greater downside risk than upside potential, it significantly influences investors' decisions. This study analyzes volatility in the stock markets of the BRICS countries. Initially, the main concepts and standard characteristics related to volatility are presented. To measure volatility, the symmetric Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model is used for robust results, alongside the asymmetric Exponential General Autoregressive Conditional Heteroskedastic (EGARCH) and Glosten-Jagannathan-Runkle Generalized Autoregressive Conditional Heteroskedastic (GJR-GARCH) models. The results reveal the existence of negative asymmetry in the volatility of returns for the Bovespa, BSE 500, IRTS, and JSE 40 indices, indicating that negative events tend to have a more pronounced impact on asset price volatility than positive events. The BSE 500 index exhibited the greatest negative asymmetry, followed by the IRTS and Bovespa indices, while the JSE 40 showed the least negative asymmetry. Conversely, the SSEC index showed no evidence of asymmetry in volatility, suggesting that positive and negative events have a similar impact on the volatility of this index's asset prices. The study aimed to investigate volatility asymmetry in the BRICS countries, collecting data for the period from February 1, 2010, to February 9, 2024, totaling 3,660 observations. Among all the BRICS countries, China was the only one without asymmetry in volatility.
Volatility is essential for assessing investment risk, serving as a key market indicator. When there is asymmetry in volatility, with greater downside risk than upside potential, it significantly influences investors' decisions. This study analyzes volatility in the stock markets of the BRICS countries. Initially, the main concepts and standard characteristics related to volatility are presented. To measure volatility, the symmetric Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model is used for robust results, alongside the asymmetric Exponential General Autoregressive Conditional Heteroskedastic (EGARCH) and Glosten-Jagannathan-Runkle Generalized Autoregressive Conditional Heteroskedastic (GJR-GARCH) models. The results reveal the existence of negative asymmetry in the volatility of returns for the Bovespa, BSE 500, IRTS, and JSE 40 indices, indicating that negative events tend to have a more pronounced impact on asset price volatility than positive events. The BSE 500 index exhibited the greatest negative asymmetry, followed by the IRTS and Bovespa indices, while the JSE 40 showed the least negative asymmetry. Conversely, the SSEC index showed no evidence of asymmetry in volatility, suggesting that positive and negative events have a similar impact on the volatility of this index's asset prices. The study aimed to investigate volatility asymmetry in the BRICS countries, collecting data for the period from February 1, 2010, to February 9, 2024, totaling 3,660 observations. Among all the BRICS countries, China was the only one without asymmetry in volatility.
Description
Mestrado em Análise Financeira
Keywords
Volatilidade GARCH Assimetria da volatilidade Investidores BRICS Volatility Volatility asymmetry Investors
Citation
Gabriel, R. C. A. (2024) Assimetria da volatilidade dos índices bolsistas dos BRICS. [Dissertação de mestrado, Instituto Superior de Contabilidade e Administração de Lisboa]. Repositório Científico do Instituto Politécnico de Lisboa. http://hdl.handle.net/10400.21/17578