Análise de retorno e volatilidade das principais bolsas sul-americanas pré e pós crise

Abstract

The objective of this paper is to analyze the empirical characteristics of the stock market and the financial market returns of three South American countries, specifically Argentina, Brazil and Chile. The interest is to model the returns and conditional volatility of these returns. In this work, linear and non-linear models of time series were used to predict the time series of the stock market. The data selected were the closing points of the daily quotation of Merval, Bovespa and Ipsa, their respective returns and volatility. The Garch family time series models have been developed and prove to be efficient by indicating short term forecasts of up to five days. Two main experiments, the first from 2002 to 2007, the second from 2008 to 2016. The main objective of the study to control models that are able to predict future prices after a crisis between these South American countries as well as determine their error of forecasting.