Dividendos e volatilidades: Spillover e causalidade em segunda ordem, cambial e financeira

نویسندگان

چکیده

Com a utilização de dados diários do retorno das ações, da cotação Dólar e índice Ibovespa, durante o período 2010 até 2020, este estudo apresenta os resultados dos transbordamentos volatilidades no mercado ações Brasil, com correlações condicionais. A construção retornos representativos pela Análise Componentes Principais, tradicional robusto se mostraram mais adequadas em relação à Principais Dinâmico. Para estimação modelos, modelo GARCH Multivarido Diagonal BEKK também mostrou ajustado comparação ao Multivariado BEKK. presença efeito spillover direção que ocorre transbordamento volatilidade foram avaliadas partir causalidade Granger segunda ordem, teste CN, indicaram lead-lag.

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ژورنال

عنوان ژورنال: Brazilian Review of Finance

سال: 2021

ISSN: ['1679-0731', '1984-5146']

DOI: https://doi.org/10.12660/rbfin.v19n4.2021.82227