Banca de DEFESA: Marco Antônio do Nascimento

Uma banca de DEFESA de MESTRADO foi cadastrada pelo programa.
STUDENT : Marco Antônio do Nascimento
DATE: 13/11/2020
TIME: 15:00
LOCAL: Online, por meio de videoconferência
TITLE:

The Risk in the Stock Markets of the American Continent Using the GARCH Model

KEY WORDS:

Volatility; GARCH; Stock Market Indexes; Risk; Financial Risk; Stock Market; Capital Market

PAGES: 76
BIG AREA: Ciências Sociais Aplicadas
AREA: Administração
SUMMARY:

The estimation of volatility has become a topic of great relevance for both academics and professionals in the financial market. The volatility of an asset or index refers to its fluctuations over time, and its correct forecast is essentials in the financial decision-making process since there is a trade-off between risk and return, where investors want to maximize their returns at the lowest possible risk. Therefore, this work aims to estimate the volatility behavior of the daily return of the major stock market indices in the American continent, between 2007 and 2019, in order to determine and measure the risk of the stock market in the continent. To analyze the volatility of the data, the GARCH model was used. As a result, it can be stated that the volatility structures of the eight financial series examined were adequately estimated using the GARCH model. This allowed an analysis of their behavior, with clear similarities in certain periods of time, with high variability, especially in 2008 / 2009 and 2011/2012. Regarding the persistence of volatility, it was found that countries have a coefficient of persistence of volatility close to 1, indicating that shocks in volatility tend to prolong fluctuations in the return of the indexes. Bearing in mind that stock market decisions involve risk management in the purchase and sale of assets, where the risks are related to price volatility, consistent estimation becomes an important instrument in the decision-making of market players.

 

 

 

BANKING MEMBERS:
Presidente - JULIANO LIMA PINHEIRO - UFMG
Interno - FELIPE DIAS PAIVA
Externo à Instituição - WAGNER MOURA LAMOUNIER - UFMG