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Advisor(s)
Abstract(s)
Esta dissertação aborda a análise da assimetria na volatilidade de Exchange Traded Funds (ETFs) nos mercados financeiros. A investigação foca especificamente nos ETFs SPDR S&P 500 ETF Trust (SPY) e Vanguard Emerging Markets Stock Index Fund (VWO), explorando a presença de assimetria na volatilidade desses ativos. A investigação fundamenta-se na relevância dos ETFs como uma classe de investimento negociada em bolsas de valores e na importância da volatilidade como um elemento crítico na análise financeira.
A investigação aborda a temática da volatilidade nos mercados financeiros pela aplicação de modelos econométricos EGARCH e GJR-GARCH. A volatilidade de ativos é um indicador crucial para investidores, refletindo as flutuações de variáveis ao longo do tempo, uma vez que sua previsão é essencial para a adoção de estratégias de proteção de investimentos e para a identificação de momentos de incerteza.
Ao explorar a volatilidade no contexto dos ETFs escolhidos, SPY e VWO, esta investigação verifica a presença de assimetria na volatilidade, e verifica que as más notícias têm um impacto mais significativo que as boas notícias. Esta constatação sugere que os efeitos positivos e negativos não possuem a mesma influência sobre a volatilidade e, consequentemente, sobre as variações nos retornos dos ativos subjacentes. Ou seja, esta
constatação sugere que os efeitos positivos e negativos não possuem influências simétricas na volatilidade.
A metodologia deste estudo baseou-se na aplicação dos modelos EGARCH e GJR-GARCH, que permitem verificar a assimetria na volatilidade dos ETFs analisados. Por meio desses modelos, constatamos que as más notícias desencadeiam um impacto maior na volatilidade em comparação com as boas notícias, corroborando a presença da assimetria na volatilidade.
This dissertation explores the analysis of volatility asymmetry in Exchange Traded Funds (ETFs) within financial markets. The research specifically centers on the ETFs SPDR S&P 500 ETF Trust (SPY) and Vanguard Emerging Markets Stock Index Fund (VWO), delving into the presence of asymmetry in the volatility of these assets. The investigation is grounded in the relevance of ETFs as an investment class traded on stock exchanges and the critical significance of volatility in financial analysis. This research addresses the subject of volatility in financial markets, showcasing the application of EGARCH and GJR-GARCH models. Asset volatility stands as a pivotal indicator for investors, mirroring the fluctuations of variables over time, as accurate prediction is essential for adopting hedge strategies and identifying moments of uncertainty. By exploring volatility within the context of the chosen two ETFs, SPY and VWO, this research underscores the presence of volatility asymmetry. It becomes clear that negative news carries a more substantial impact than positive news. This observation suggests that positive and negative effects do not exert the same influence on volatility and consequently on variations in underlying asset returns. This asymmetry in the effects on volatility presents a fundamental facet of financial dynamics. The methodology of this study is anchored in the application of EGARCH and GJR-GARCH models, which enable the estimation of volatility asymmetry. Through these models, it is conclusively observed that negative news triggers a greater impact on volatility in comparison to positive news, thereby confirming the presence of volatility asymmetry.
This dissertation explores the analysis of volatility asymmetry in Exchange Traded Funds (ETFs) within financial markets. The research specifically centers on the ETFs SPDR S&P 500 ETF Trust (SPY) and Vanguard Emerging Markets Stock Index Fund (VWO), delving into the presence of asymmetry in the volatility of these assets. The investigation is grounded in the relevance of ETFs as an investment class traded on stock exchanges and the critical significance of volatility in financial analysis. This research addresses the subject of volatility in financial markets, showcasing the application of EGARCH and GJR-GARCH models. Asset volatility stands as a pivotal indicator for investors, mirroring the fluctuations of variables over time, as accurate prediction is essential for adopting hedge strategies and identifying moments of uncertainty. By exploring volatility within the context of the chosen two ETFs, SPY and VWO, this research underscores the presence of volatility asymmetry. It becomes clear that negative news carries a more substantial impact than positive news. This observation suggests that positive and negative effects do not exert the same influence on volatility and consequently on variations in underlying asset returns. This asymmetry in the effects on volatility presents a fundamental facet of financial dynamics. The methodology of this study is anchored in the application of EGARCH and GJR-GARCH models, which enable the estimation of volatility asymmetry. Through these models, it is conclusively observed that negative news triggers a greater impact on volatility in comparison to positive news, thereby confirming the presence of volatility asymmetry.
Description
Mestrado em Análise Financeira
Keywords
ETF (Exchange-Traded Fund) Modelo EGARCH Modelo GJR-GARCH Assimetria na volatilidade EGARCH model GJR-GARCH model Volatility asymmetry
Citation
Silva, J. A. M. R. F. (2023) Sobre a assimetria na volatilidade dos Exchange Traded Funds SPY e VWO. [Dissertação de mestrado, Instituto Superior de Contabilidade e Administração de Lisboa]. Repositório Científico do Instituto Politécnico de Lisboa. http://hdl.handle.net/10400.21/17438