Modeling the Stochastic Volatility : Bovespa Index between 2000 and 2009

This article presents two specifications for the stochastic volatility model, in order to compare them for the chosen period. It is used the stochastic volatilit model with stationary variance and non stationary variance, similar to Morais and Portugal, to model the Bovespa Index between 2000 and 2009 with daily observations. The one step ahead predictions are compared, as well as the filtrated and smoothed stimations.The results indicate that the stationary specification of the stochastic volatility model, although close to unitary, has a better prediction power and fitting adjustment within the sample. The AIC and the BIC as well as the RMSE indicate the stationary specification as a more accurate one