Long Run Estimations for the Volatility of Time Series in the Brazilian Financial Market
The models of the GARCH family, normally used for the estimates of volatility for longer periods, keep unchanged the relative weights assigned to the observations both old and new, regardless of the volatility´s forecasted horizon. The purpose of this article is to verify if the increase in relativ...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Brazilian Society of Finance
2014-03-01
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| Series: | Revista Brasileira de Finanças |
| Subjects: | |
| Online Access: | http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/8187 |