Modelando a volatilidade da taxa de câmbio BRL/USD : evidências às razões e efetividades de hedge
Spot and future BRL/USD exchange rates were used to estimate the optimal hedge ratio and hedging effectiveness. The tests show evidence of ARCH effects, non-Gaussian distributions, a cointegrating vector equal to the "basis", and non-constant conditional correlations. Thus the series were...
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| Tipo de recurso: | tesis de maestría |
| Estado: | Versión publicada |
| Fecha de publicación: | 2010 |
| País: | Brasil |
| Institución: | Universidade Estadual de Maringá (UEM) |
| Repositorio: | Repositório Institucional da Universidade Estadual de Maringá (RI-UEM) |
| Idioma: | portugués |
| OAI Identifier: | oai:localhost:1/3478 |
| Acceso en línea: | http://repositorio.uem.br:8080/jspui/handle/1/3478 |
| Access Level: | acceso abierto |
| Palabra clave: | Razão ótima de hedge Efetividade de hedge Hedge Taxa de câmbio Brasil. Effectiveness Optimal hedge ratio Exchange rate Brazil. Ciências Sociais Aplicadas Economia |
| Sumario: | Spot and future BRL/USD exchange rates were used to estimate the optimal hedge ratio and hedging effectiveness. The tests show evidence of ARCH effects, non-Gaussian distributions, a cointegrating vector equal to the "basis", and non-constant conditional correlations. Thus the series were modeled using multivariate GARCH with error-correction term equal to the lagged "basis" and a Studentized distribution. The results point out superior hedge effectiveness, in sample (48%) and out of sample (66%), for the DCC GJR model under a t distribution. |
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