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Jornal "O Estado de São Paulo", 24/08/2007
Rogério Werneck.
TD n. 547, 01/08/2007
This paper shows that bagging can improve the forecast accuracy of time series models for realized volatility. We consider 23 stocks from the Dow Jones Industrial Average over the sample period 1995 to 2005 and employ two different forecast models, a log-linear specification in the spirit of the heterogeneous autoregressive model and a nonlinear specification with logistic transitions. Both forecast model types benefit from bagging, in particular in the 1990s part of our sample. The log-linear specification shows larger improvements than the nonlinear model. Bagging the log-linear model yields the highest forecast accuracy on our sample.
Publicado no Econometric Reviews, 29, 571-593.
Eric Hillebrand, Marcelo Medeiros.
TD n. 548, 01/08/2007
This paper performs a thorough statistical examination of the time-series properties of the daily market volatility index (VIX) from the Chicago Board Options Exchange (CBOE). The motivation lies on the widespread consensus that the VIX is a barometer to the overall market sentiment as to what concerns investors’ risk appetite. Our preliminary analysis suggests that the VIX index displays long-range dependence. This is well line with the strong empirical evidence in the literature supporting long memory in both options-implied and realized variances. We thus resort to both parametric and semiparametric heterogeneous autoregressive (HAR) processes for modeling and forecasting purposes. Our main findings are as follows. First, we confirm the evidence in the literature that there is a strong negative relationship between the VIX index and the S&P 500 index return as well as a positive contemporaneous link with the volume of the S&P 500 index. Second, we find that the VIX index tends to decline as the long-run oil price increases. This is not entirely surprising given the high demand from oil in the last years as well as the recent trend of shorting energy prices in the hedge fund industry. Third, the term spread has no long-run impact in the VIX index despite of the positive contemporaneous link. Fourth, there is some weak evidence that increases in the value of the US dollar tend to move down options-implied market volatility. Finally, we cannot reject the linearity of the above relationships, neither in sample nor out of sample. As for the latter, we actually show that it is pretty hard to beat the pure HAR process because of the very persistent nature of the VIX index. It is not impossible, though. We set out a semiparametric HAR-type model that performs very well across different forecasting horizons by using the above explanatory variables in a quite efficient manner.
Publicado no Journal of Banking and Finance, 40, 1-10, 2014
Marcelo Medeiros, Marcelo Fernandes, Marcel Scharth Figueiredo Pinto.
TD n. 549, 01/08/2007
A. Schneider, João Manoel Pinho de Mello.
TD n. 550, 01/08/2007
Bernardo Santos da Silveira, João Manoel Pinho de Mello.
TD n. 552, 01/08/2007
João Manoel Pinho de Mello, Marcelo de Paiva Abreu, Antônio Carlos de Azevedo Sodré.
31/07/2007
Denise Messer.
Orientador: Maria de Nazareth Maciel.
31/07/2007
Julia Senna Duarte.
Orientador: João Manoel Pinho de Mello.
31/07/2007
Carlos Henrique Limoeiro Monteiro.
31/07/2007
Bernardo Santini Brando.
Orientador: Fabrício Mello R. da Silva.
Jornal "O Estado de São Paulo", 30/07/2007
Marcelo de Paiva Abreu.
30/07/2007
Débora Itagiba de Morais.
Orientador: Marco Antonio Cavalcanti.
Jornal "O Estado de São Paulo", 16/07/2007
Marcelo de Paiva Abreu.
Valor Econômico, 04/07/2007
Márcio Garcia.
TD n. 545, 01/07/2007
Thiago Revil Teixeira Ferreira, Juan Pablo Torres-Martínez.
