38021

Fernanda Maria Müller
Fábio Mariano Bayer

Revista Brasileira de Finanças

O modelo Beta-Skew-t-EGARCH foi recentemente proposto para modelar avolatilidade de retornos financeiros. A estimação dos parâmetros do modelo é feita via máxima verossimilhança. Esses estimadores possuem boas propriedades assintóticas, mas em amostras de tamanho finito seus desempenhos podem ser pobres. Com a finalidade de avaliar as propriedades em amostras de tamanho finito dos estimadores pontuais e do teste da razão de verossimilhanças proposto para testar a presença de dois componentes de volatilidade, realizou-se um estudo de simulações de Monte Carlo. Os resultados numéricos indicam que o estimadores de máxima verossimilhança de alguns parâmetros do modelo são consideravelmente viesados em amostras inferiores a 3000. A avaliação numérica do teste de dois componentes proposto, em termos de tamanho e poder do teste, evidenciou sua utilidade prática. Ao final do trabalho foi realizada uma aplicação a dados reais do teste de dois componentes proposto e do modelo Beta-Skew-t-EGARCH.

Palavras-chave: Beta-Skew-t-EGARCH; estimadores de máxima verossimilhança; simulação de Monte Carlo; teste da razão de verossimilhanças; volatilidade

MÜLLER, F. M.; BAYER, F. M. Avaliações numéricas das inferências no modelo Beta-Skew-t-EGARCH . Revista Brasileira de Finanças, v. 13, n. 1, p. 40-73, 2015.

Müller, F. M., & Bayer, F. M. (2015). Avaliações numéricas das inferências no modelo Beta-Skew-t-EGARCH . Revista Brasileira de Finanças, 13(1), 40-73.

https://www.spell.org.br/documentos/ver/38021/avaliacoes-numericas-das-inferencias-no-modelo-beta-skew-t-egarch-/i/pt-br

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