Loading...
Publication
Como a volatilidade do PSI difere do IBEX35 em período de crise
| Name: | Description: | Size: | Format: | |
|---|---|---|---|---|
| 1.85 MB | Adobe PDF |
Authors
Advisor(s)
Abstract(s)
A presente dissertação analisa a volatilidade dos retornos diários dos índices bolsistas PSI (Portugal) e IBEX35 (Espanha), através da aplicação dos modelos GARCH, EGARCH e TGARCH, antes, durante e após crise pandémica.
Com base nos dados analisados entre o período de 2018 e 2024, os resultados obtidos demonstram uma elevada persistência da variância condicional em ambos os mercados, sendo mais acentuada no mercado bolsista PSI. Adicionalmente, os modelos assimétricos divulgam a presença de efeitos de alavancagem, sobretudo no IBEX35, visto que, durante o período referente à crise pandémica, o mesmo assinala uma maior sensibilidade a choques negativos, apresentando um coeficiente γ superior ao do PSI e mais significativo.
Estes resultados demonstram diferenças significativas na reação da volatilidade entre os dois mercados ibéricos, contribuindo para a literatura sobre mercados financeiros europeus.
This dissertation analyses the volatility of daily returns on the PSI (Portugal) and IBEX35 (Spain) stock market indices, applying the GARCH, EGARCH and TGARCH models before, during and after the pandemic crisis. Based on data analysed between 2018 and 2024, the results obtained show a high persistence of conditional variance in both markets, which is more pronounced in the PSI stock market. In addition, the asymmetric models reveal the presence of leverage effects, especially in the IBEX35, since during the pandemic crisis period, it shows greater sensitivity to negative shocks, with a γ coefficient higher than that of the PSI and more significant. These results demonstrate significant differences in the volatility reaction between the two Iberian markets, contributing to the literature on European financial markets.
This dissertation analyses the volatility of daily returns on the PSI (Portugal) and IBEX35 (Spain) stock market indices, applying the GARCH, EGARCH and TGARCH models before, during and after the pandemic crisis. Based on data analysed between 2018 and 2024, the results obtained show a high persistence of conditional variance in both markets, which is more pronounced in the PSI stock market. In addition, the asymmetric models reveal the presence of leverage effects, especially in the IBEX35, since during the pandemic crisis period, it shows greater sensitivity to negative shocks, with a γ coefficient higher than that of the PSI and more significant. These results demonstrate significant differences in the volatility reaction between the two Iberian markets, contributing to the literature on European financial markets.
Description
Keywords
GARCH IBEX35 Modelos assimétricos PSI Volatilidade Asymmetric models Volatility