Análise dinâmica de volatilidade para os setores do mercado acionário brasileiro: uma aplicação do modelo MRS-GARCH

Bruno Pereira Conte; Paulo Sérgio Ceretta

doi:10.18593/race.20975

Authors

Bruno Pereira Conte Universidade Franciscana https://orcid.org/0000-0002-3709-1749
Paulo Sérgio Ceretta Universidade Federal de Santa Maria https://orcid.org/0000-0001-8264-0439

DOI:

https://doi.org/10.18593/race.20975

Keywords:

Sector indexes, Brazilian stock market, Volatility, Switching volatility regimes

Abstract

In this study, a analysis the dynamic of volatility was proposed in the Brazilian stock market sectors, thus making a study in the main sector indexes of B3. It was used the model of Markov Switching Regimes. As results, initially we observed the absence of leverage effect in the most part of the series. In addition, there was a predominance of asymmetry as well as the persistence of volatility for most part of regimes from the series. It was observed too, that there was a great similarity between the Brazilian stock market and the financial sector, both with very closely regimes, besides having volatility with a characteristic of greater persistence after the year of 2013. Another similarity found was between the Public Utilities sector and the Eletric Energy sector, both characterized by the great alternation between the estimated regimes. Thus, it was possible to conclude that each sector of the Brazilian stock market has an idiosyncratic behavior, and the volatility of its returns was captured by the different estimated regimes, a finding that contributes to future sectorial evaluations of the Brazilian market.

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Author Biography

Paulo Sérgio Ceretta, Universidade Federal de Santa Maria

Professor Associado do Centro de Ciências Administrativas - UFSM

Doutor em Engenharia da Produção - UFSC

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