Análise da quasi correlação condicional dinâmica da volatilidade de índices do mercado à vista e futuro
DOI :
https://doi.org/10.5902/2236117015879Mots-clés :
GARCH-DCC, Transmissão de volatilidade, Mercado futuro.Résumé
Este trabalho tem como objetivo analisar o processo de transmissão de informações e a quasi correlação condicional dinâmica da volatilidade entre os mercados à vista e futuro do Brasil, Alemanha e Estados Unidos. Para tanto, foram estimados três modelos GARCH-DCC bivariados para os índices Ibovespa, DAX e S&P500, e seus respectivos contratos futuros. Os resultados indicam que o mercado à vista é influenciado tanto pelos retornos passados quanto pelas informações passadas do mercado futuro em todos os índices analisados. O contrário, entretanto só é verdadeiro para o DAX. Com relação à volatilidade, percebe-se que existe alta dependência dinâmica de volatilidade entre mercados à vista e futuro.Téléchargements
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