ETDs @PUC-Rio
| Título: | VOLATILITY FORECAST MODEL FOR MARKET INDEX USING FACTORS EXTRACTED FROM CREDIT RISK, INTEREST RATES, EXCHANGE RATES AND COMMODITIES PANELS | ||||||||||||
| Autor: |
RODRIGO ALMEIDA DA FONSECA |
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| Colaborador(es): |
MARCELO CUNHA MEDEIROS - Orientador |
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| Catalogação: | 06/MAR/2018 | Língua(s): | PORTUGUESE - BRAZIL |
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| Tipo: | TEXT | Subtipo: | THESIS | ||||||||||
| Notas: |
[pt] Todos os dados constantes dos documentos são de inteira responsabilidade de seus autores. Os dados utilizados nas descrições dos documentos estão em conformidade com os sistemas da administração da PUC-Rio. [en] All data contained in the documents are the sole responsibility of the authors. The data used in the descriptions of the documents are in conformity with the systems of the administration of PUC-Rio. |
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| Referência(s): |
[pt] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/ETDs/consultas/conteudo.php?strSecao=resultado&nrSeq=33203&idi=1 [en] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/ETDs/consultas/conteudo.php?strSecao=resultado&nrSeq=33203&idi=2 |
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| DOI: | https://doi.org/10.17771/PUCRio.acad.33203 | ||||||||||||
| Resumo: | |||||||||||||
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It will be presented a model that is able to extract factors capable of predicting the volatility of IBOVESPA market index, which is representative of Brazilian equity market. This methodology is different from others because it won t use any inputs from equity asset classes. It will be used factors extracted from credit risk, interest rates, exchange rates and commodities data for pricing the volatility of an equity index. Besides that, those factors will be extracted from panels of volatility filtered by GARCH models.
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