Modelos de volatilidade estocástica em séries financeiras: uma aplicação para o IBOVESPA

• Published in: Economia aplicada Vol. 14; no. 1; pp. 25 - 40
• Main Authors: Barossi-Filho, Milton, Achcar, Jorge Alberto, Molina de Souza, Roberto
• Format: Journal Article
• Language: Portuguese
• Published: Riberao Preto Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto-USP, Dept de Economia 01.03.2010; Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto da Universidade de São Paulo; Universidade de São Paulo
• Subjects: Análise Bayesiana; Bayesian analysis; ECONOMICS; IBOVESPA; Modelo de volatilidade estocástica; Métodos MCMC; Séries temporais financeiras; Time series; Volatility; Séries temporais financeiras; IBOVESPA; Análise Bayesiana; Stochastic volatility models; Modelo de volatilidade estocástica; Métodos MCMC; Bayesian analysis; MCMC methods; financial time series
• ISSN: 1413-8050; 1980-5330; 1980-5530; 1980-5330
• DOI: 10.1590/S1413-80502010000100002

In this paper, we present a Bayesian analysis for stochastic volatility models (SV) and a generalized form of this model, with the aim to estimate the volatilities of financial time series. Considering same special cases of the SV models, we use Markov Chain Monte Carlo methods and the software WinBugs to get the posterior summaries of interest for the different forms of SV models. We also introduce some Bayesian discrimination methods to choose the best model to be used to estimate the volatilities and to get predictions of the financial time series. An example of application is introduced with the Brazilian financial series IBOVESPA.