Modeling the volatility presented by indexes IVBX-2 and SMLL in 2008 using models of the ARCH family/Modelacion de la volatilidad presentada por los indices IVBX-2 y SMLL en 2008 utilizando modelos de la familia ARCH/Modelagem da volatilidade apresentada pelos indices IVBX-2 e SMLL em 2008 usando modelos da familia ARCH

• Published in: Revista de administração Mackenzie Vol. 13; no. 4; p. 99
• Main Authors: De Araujo, Jevuks Matheus, Filho, Paulo Amilton Maia Leite
• Format: Journal Article
• Language: Spanish
• Published: Universidade Presbiteriana Mackenzie 01-07-2012
• ISSN: 1518-6776

The financial series are strongly characterized by its volatility, alternating periods of high and low volatility, i.e., the variance of these series is not constant, varying with time. Thus, the series may have heterocedastidade financial circumstances. The paper analyzes the behavior of the series of returns of the indices IVBX-2 and SMLL in 2008, aiming to identify the volatility of the series. The central axis of the work is theoretical theory of efficient markets, it believes that all relevant information is already incorporated into stock prices, so the price is a good measure of value of shares. The indices studied are characterized as representing hypothetical portfolio consisting of shares of lesser value and lesser liquidity, these characteristics imply a higher risk and higher return associated with investments in such portfolio. The methodology adopted was the use of ARCH models in the family. The implementation of the models indicate the series have similar behavior, with the coefficient which measures the persistence of shocks around 1 and the impacts of these shocks occur so asymmetrical, where the negative shocks have a greater effect than positive shocks.