Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.5/9973
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dc.contributor.authorCaiado, Jorge-
dc.date.accessioned2015-10-30T13:47:10Z-
dc.date.available2015-10-30T13:47:10Z-
dc.date.issued2004-
dc.identifier.citationCaiado, Jorge (2004). "Modelling and forecasting the volatility of the portuguese stock index PSI-20". Estudos de Gestão, IX(1):3-22pt_PT
dc.identifier.urihttp://hdl.handle.net/10400.5/9973-
dc.description.abstractThe volatility clustering often seen in financial data has increased the interest of researchers in applying good models to measure and forecast stock returns. This paper aims to model the volatility for daily and weekly returns of the Portuguese Stock Index PSI-20. By using simple GARCH, GARCH-M, Exponential GARCH (EGARCH) and Threshold ARCH (TARCH) models, we find support that there are significant asymmetric shocks to volatility in the daily stock returns, but not in the weekly stock returns. We also find that some weekly returns time series properties are substantially different from properties of daily returns, and the persistence in conditional volatility is different for some of the sub-periods referred. Finally, we compare the forecasting performance of the various volatility models in the sample periods before and after the terrorist attack on September 11, 2001.pt_PT
dc.language.isoengpt_PT
dc.publisherInstituto Superior de Economia e Gestãopt_PT
dc.rightsopenAccesspt_PT
dc.subjectEGARCHpt_PT
dc.subjectforecastingpt_PT
dc.subjectGARCHpt_PT
dc.subjectGARCH-Mpt_PT
dc.subjectleverage effectpt_PT
dc.subjectPSI-20 indexpt_PT
dc.subjectTARCHpt_PT
dc.subjectvolatilitypt_PT
dc.titleModelling and forecasting the volatility of the portuguese stock index PSI-20pt_PT
dc.typearticlept_PT
degois.publication.firstPage3pt_PT
degois.publication.issue1pt_PT
degois.publication.lastPage22pt_PT
degois.publication.locationLisboapt_PT
degois.publication.titleEstudos de Gestãopt_PT
degois.publication.volumeIXpt_PT
Aparece nas colecções:2004, Volume IX, nº 1

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