Moreira, João Maurício de Souza; Lemgruber, Eduardo Facó - Central Bank of Brazil, Research Department - 2002
This paper investigates the use of high frequency data in the estimation of daily and intradaily volatility, in order to compute value at risk (VaR) forecasts for the IBOVESPA. GARCH models and deterministic methods for the filtering of seasonal patterns have been used in the computation of...