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Existência de clusters na volatilidade do índice STOXX Global Video Gaming & eSports Gross Return USD Index
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Abstract(s)
Esta dissertação analisa a existência de clusters de volatilidade no índice STOXX Global Video Gaming & eSports Gross Return USD Index, representativo do mercado de e-sports e videojogos. Utilizando o modelo econométrico GARCH(1,1), a análise abrange dados diários de 2012 a 2024, identificando períodos de maior instabilidade financeira. Os resultados confirmam a persistência da volatilidade, onde choques passados influenciam flutuações futuras. Eventos como a pandemia de COVID-19 e a guerra na Ucrânia tiveram impactos significativos no índice, refletindo um aumento de incertezas e oscilações. Por outro lado, fatores específicos do setor, como o crescimento da indústria, avanços tecnológicos e maior adesão a plataformas digitais, impulsionaram períodos de recuperação. Estatísticas descritivas revelaram características de não-normalidade nos retornos do índice, com assimetria positiva e caudas grossas, indicando maior probabilidade de eventos extremos. Este comportamento sublinha a importância de estratégias de gestão de risco, como diversificação de portfólios e instrumentos de hedge, para mitigar os impactos das flutuações. A investigação contribui para o estudo da volatilidade em mercados emergentes, destacando o potencial dos e-sports como setor inovador. Recomenda-se que estudos futuros explorem índices alternativos e modelos mais avançados para aprofundar o entendimento das dinâmicas deste mercado.
This dissertation analyzes the existence of volatility clusters in the STOXX Global Video Gaming & eSports Gross Return USD Index, representative of the e-sports and video gaming market. Using the econometric model GARCH(1,1), the analysis covers daily data from 2012 to 2024, identifying periods of significant financial instability. The results confirm the persistence of volatility, where past shocks influence future fluctuations. Events such as the COVID-19 pandemic and the war in Ukraine had significant impacts on the index, reflecting increased uncertainties and oscillations. Conversely, sector-specific factors, such as industry growth, technological advancements, and greater adoption of digital platforms, drove periods of recovery. Descriptive statistics revealed non-normality in the index returns, with positive skewness and fat tails, indicating a higher probability of extreme events. This behavior underscores the importance of risk management strategies, such as portfolio diversification and hedge instruments, to mitigate the impacts of fluctuations. The research contributes to the study of volatility in emerging markets, highlighting the potential of e-sports as an innovative sector. Future studies are recommended to explore alternative indices and more advanced models to deepen the understanding of this market’s dynamics.
This dissertation analyzes the existence of volatility clusters in the STOXX Global Video Gaming & eSports Gross Return USD Index, representative of the e-sports and video gaming market. Using the econometric model GARCH(1,1), the analysis covers daily data from 2012 to 2024, identifying periods of significant financial instability. The results confirm the persistence of volatility, where past shocks influence future fluctuations. Events such as the COVID-19 pandemic and the war in Ukraine had significant impacts on the index, reflecting increased uncertainties and oscillations. Conversely, sector-specific factors, such as industry growth, technological advancements, and greater adoption of digital platforms, drove periods of recovery. Descriptive statistics revealed non-normality in the index returns, with positive skewness and fat tails, indicating a higher probability of extreme events. This behavior underscores the importance of risk management strategies, such as portfolio diversification and hedge instruments, to mitigate the impacts of fluctuations. The research contributes to the study of volatility in emerging markets, highlighting the potential of e-sports as an innovative sector. Future studies are recommended to explore alternative indices and more advanced models to deepen the understanding of this market’s dynamics.
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Keywords
Volatilidade E-sports GARCH(1 1) Clusters de volatilidade Gestão de risco Volatility Volatility clusters Risk management IPL/IDI&CA2023/RISKFIN_ISCAL