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Extração da Volatilidade do Ibovespa [PDF]
This paper estimates the conditional volatility of the main Brazilian stock market index (Ibovespa), using traditional models of the GARCH family and models of stochastic volatility (SV). Most model selection and performance criteria suggest that both aproaches capture well Ibovespa's volatility, with a slight advantage of the EGARCH(1,1) model ...
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Volatilidad, correlación y dependencia
2016Análisis de la volatilidad en el entorno ...
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Assimetrias na volatilidade e nas perturbações nos modelos de volatilidade
2021openaire +1 more source

