Economic gains of realized volatility in the Brazilian stock market

Arbeitspapier

A model of realized variance-covariance is proposed using a portfolio with the most liquid stockassets of Ibovespa. The purpose is to evaluate the economic gains associated with following avolatility timing strategy based on the model’s conditional forecasts. Comparing with traditionalvolatility methods, we find that economic gains associated with realized measures perform wellwhen estimation risk is controlled and increase proportionally to the target return. Whenexpected returns are bootstrapped, however, performance fees are not significant, which is anindication that economic gains of realized volatility are offset by estimation risk.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Texto para discussão ; No. 624

Classification and Topics

• Classification: Wirtschaft ; Portfolio Choice; Investment Decisions ; Financial Forecasting and Simulation
• Subject: Realized volatility ; utility ; forecasting

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Santos, Francisco ; Garcia, Márcio ; Medeiros, Marcelo
• Event: Veröffentlichung
• (who): Pontifícia Universidade Católica do Rio de Janeiro (PUC-Rio), Departamento de Economia
• (where): Rio de Janeiro
• (when): 2014

Further information

• Handle: http://hdl.handle.net/10419/176107
• Last update: 10.03.2025, 11:44 AM CET