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Advisor(s)
Abstract(s)
Volatilidade refere-se às oscilações de uma determinada variável ao longo do tempo. Assim, facilmente se associa volatilidade aos conceitos de risco e de incerteza e, por conseguinte, ao trade-off entre risco e rendibilidade.
Por sua vez, assimetria na volatilidade permite-nos concluir que o efeito de uma má notícia é maior que o efeito de uma boa notícia, dado que para variações nos rendimentos do ativo subjacente, é particularmente improvável que choques, positivos ou negativos, tenham o mesmo impacto na volatilidade.
Analisando a evolução dos preços do crude assistimos a uma grande variação de preços no período 2004-2014; com o apoio dos modelos ARCH, mais precisamente, os modelos EGARCH e TGARCH, avaliamos a assimetria na volatilidade, e assistimos ao facto que as más notícias exercem maior impacto sobre a volatilidade, do que as boas notícias, verificando-se assim assimetria na volatilidade no período 2004-2014 no crude.
Volatility refers to oscillations of a particular variable over time. Thus easily associated volatility to the concepts of risk and uncertainty and therefore the trade-off between risk and return. In turn, tail to volatility allows us to conclude that the effect of a bad new is greater than the effect of a good news, since for variations in the underlying asset yields, it is especially unlikely that positive or negative shocks have the same impact in volatility. Analysing the evolution of oil prices witnessed a wide range of prices for the period 2004-2014; with the support of ARCH models, more precisely, the EGARCH and TGARCH models, we evaluate the asymmetry in volatility, and witnessed the fact that the bad news exert greater impact on volatility than the good news, verifying thus asymmetry in volatility in the period 2004-2014 in crude.
Volatility refers to oscillations of a particular variable over time. Thus easily associated volatility to the concepts of risk and uncertainty and therefore the trade-off between risk and return. In turn, tail to volatility allows us to conclude that the effect of a bad new is greater than the effect of a good news, since for variations in the underlying asset yields, it is especially unlikely that positive or negative shocks have the same impact in volatility. Analysing the evolution of oil prices witnessed a wide range of prices for the period 2004-2014; with the support of ARCH models, more precisely, the EGARCH and TGARCH models, we evaluate the asymmetry in volatility, and witnessed the fact that the bad news exert greater impact on volatility than the good news, verifying thus asymmetry in volatility in the period 2004-2014 in crude.
Description
Dissertação de Mestrado em Contabilidade e Análise Financeira
Keywords
Petróleo Preços do crude Volatilidade Assimetria EGARCH TGARCH Oil Crude Prices Volatility Asymmetry