O objetivo deste trabalho é investigar as relações entre a atividade de negócios, representada pelas variáveis de contratos em aberto e volume negociado, o conteúdo informacional dos diferentes grupos de participantes, categorizados pela bolsa brasileira, e a volatilidade diária e intradiária dos preços futuros para boi gordo, café arábica e milho, contratos agropecuários de maior liquidez na BMF&BOVESPA. O ferramental metodológico foi baseado nos trabalhos de Bessembiender e Seguin (1992), Daigler e Wiley (1999) e Wang (2002), amparados, majoritariamente, pela teoria de microestrutura de mercado e noise trading. Os resultados encontrados sugerem que existe relação entre contratos em aberto, volume negociado e volatilidade dos preços futuros. No caso de contratos em aberto, foi encontrada uma relação negativa (positiva) entre a série esperada (não esperada) e volatilidade, sendo que o impacto da série não esperada é superior, em magnitude, ao da série esperada. Para o volume negociado, em geral, há evidência de um efeito positivo do volume negociado (tanto esperado como não esperado) sobre a volatilidade, sendo que a série esperada apresentou maior impacto do que a série não esperada. Quanto ao conteúdo informacional dos participantes...
Mestrado em Finanças; Under the efficient market hypothesis, an options price’s implied volatility should be
the best possible forecast of the future realized volatility of the underlying asset. In spite
of this theoretical proposition, a vast number of studies in the financial literature found
that implied volatility is a biased estimator of the future realized volatility. These
findings suggest that we are either in the presence of an inefficient market or that
econometric models fail on that purpose.
In this thesis, by introducing the concept of Market Neutral Volatility and the derivation
of a theoretical model, we show what in fact the implied volatility forecasts and we
prove that the S&P 500 options market is efficient. This property of the S&P 500
options market assures that the implied volatility cannot be a biased forecast of its
future realized volatility. Thus, we conclude that the bias of the implied volatility
estimator is due to the inadequacy of the commonly used econometric approaches.; Sob a hipótese de eficiência dos mercados, a volatilidade implícita de uma opção deve
ser a melhor previsão possível da futura volatilidade realizada do activo subjacente.
Apesar deste argumento teórico, um vasto número de estudos realizados na literatura
Mestrado em Finanças; A presente dissertação pretende efectuar uma avaliação da capacidade predictiva de vários
modelos GARCH, nomeadamente os modelos GARCH, EGARCH e GJR-GARCH, comparando
as suas previsões com duas medidas para a volatilidade. Os resultados são obtidos após
um enquadramento teórico da volatilidade realizada e das propriedades das suas distribuições,
tanto condicionais como incondicionais, efectuando a mesma análise para os retornos. Em
linha com os resultados já existentes na literatura, as distribuições incondicionais são leptoc
úrticas e positivamente enviesadas, sendo que a volatilidade realizada se afasta mais da
normalidade e exibe efeito assimétrico. Por outro lado, os retornos standardizados pelo
desvio-padrão realizado aparentam ser aproximadamente normais.; The present dissertation intends to perform an evaluation of the predictive ability of several
models of the GARCH family, namely the GARCH, EGARCH and GJR-GARCH models,
by comparing their forecasts with two di erent proxies for volatility. This result is achieved
after providing a brief theoretical framework for realized volatility and after assessing its
unconditional and conditional distributional properties. Consistently with the results found
in previous literature...
Thesis (Ph. D.)--University of Rochester. William E. Simon Graduate School of Business Administration, 2008.; The first chapter presents a simple real options model that explains why in cross-section high idiosyncratic volatility implies low future returns and why the value effect is stronger for high volatility firms. In the model, high idiosyncratic volatility makes growth options a hedge against aggregate volatility risk. Growth options become less sensitive to the underlying asset value as idiosyncratic volatility goes up. It cuts their betas and saves them from losses in volatile times that are usually recessions. Growth options value also positively depends on volatility. It makes them a natural hedge against volatility increases. In empirical tests, the aggregate volatility risk factor explains the idiosyncratic volatility discount and why it is stronger for growth firms. The aggregate volatility risk factor also partly explains the stronger value effect for high volatility firms. I also find that high volatility and growth firms have much lower betas in recessions than in booms. In the second chapter I show that the aggregate volatility risk factor (the BVIX factor) explains the well-known underperformance of small growth firms. The BVIX factor also reduces the underperformance of IPOs and SEOs by 45% and makes it statistically insignificant. The BVIX factor is unrelated to the investment factor proposed by Lyandres...
This paper addresses the mechanisms by
which trade openness affects growth volatility. Using a
diverse set of export diversification indicators, it
presents strong evidence pointing to an important role for
export diversification in reducing the effect of trade
openness on growth volatility. The authors also identify
positive thresholds for product diversification at which the
effect of openness on volatility changes sign. The effect is
shown to be positive only for a minority of countries with
highly concentrated export baskets. This result is shown to
be robust to both explicit accounting for endogeneity as
well as the inclusion of a host of additional controls.
In contrast with a growing literature on
the drivers of aggregate volatility in developing countries,
its consequences in terms of individual incomes have
received less attention. This paper looks at the impact of
cyclical output fluctuations and extreme output events
(crises) on unemployment, poverty, and inequality. The
authors find robust evidence that aggregate volatility has a
regressive, asymmetric, and non linear impact, as reflected
in the strong influence of extreme output drops. The
findings show that, in addition to the mitigating role of
personal wealth, public expenditure and labor protection
exert a similar benign effect. These findings are in line
with the income substitutions view of social safety nets,
and cast a new light on the value of social programs and
labor market regulation in crisis prone developing countries.
Recent estimates of the welfare cost of
consumption volatility find that it is significant in
developing nations, where it may reach an equivalent of
reducing consumption by 10 percent per year. Hence,
examining the determinants of consumption volatility is of
utmost relevance. Based on cross-country data for the period
1960-2005, the paper explains consumption volatility using
three sets of variables: one refers to the volatility of
income and the persistence of income shocks; the second set
of variables refers to policy volatility, considering the
volatility of public spending and the size of government;
while the third set captures the ability of agents to smooth
shocks, and includes the depth of the domestic financial
markets as well as the degree of integration to
international capital markets. To allow for potential
endogenous regressors, in particular the volatility of
fiscal policy and the size of government, the system is
estimated using the instrumental variables method. The
results indicate that...
The authors extend the recent literature
on the link between financial development and economic
volatility by focusing on the channels through which the
development of financial intermediaries affects economic
volatility. Their theoretical model predicts that
well-developed financial intermediaries dampen the effect of
real sector shocks on the volatility of growth while
magnifying the effect of monetary shocks-suggesting that,
overall, financial intermediaries have no unambiguous effect
on growth volatility. The authors test these predictions in
a panel data set covering 63 countries over the period
1960-97, using the volatility of terms of trade to proxy for
real volatility, and the volatility of inflation to proxy
for monetary volatility. They find no robust relationship
between the development of financial intermediaries and
growth volatility, weak evidence that financial
intermediaries dampen the effect of terms of trade
volatility, and evidence that financial intermediaries
magnify the impact of inflation volatility in low- and
The enterprise reforms of the 1990s
profoundly changed the structure of the economy in China.
With the deepening of market economy, the share of the
state-owned and collective enterprises declined. Expansion
and contraction, as well as establishment and closure, of
firms became a common phenomenon. The level and volatility
of firm productivity have become increasingly important
aspects of the micro performance of the economy. This paper
uses a firm-level data set collected annually by the
National Bureau of Statistics of China in 1998-2007 to
examine the role of different firm characteristics in
productivity volatility. The paper measures productivity
volatility at the firm level as the standard deviation of
the annual growth rate of productivity. The main objectives
are twofold: first, it examines the variation of
productivity volatility across firms of different
characteristics and their evolution over time; second, it
investigates the sources of productivity volatility at the
firm level in China. The results suggest that in general...
The purpose of the current study is to contribute to a deeper understanding of growth volatility
in Paraguay and to provide an input into the discussion on how to better manage it. In
particular, the study will ask three questions: i) what are the sources of volatility in Paraguay?
ii) How does growth volatility, in particular that arising from the strong dependence on the
agricultural sector, impact the rest of the economy? iii) What are optimal policies for managing
the types of volatility observed in Paraguay?
This supplementary volume of the study on Growth Volatility in Paraguay—Sources, Effects,
and Options provides a number of background papers and material that was prepared as part of
this study. The topics are closely linked with the overarching story telling presented in the first
volume of the report.
1) Business Cycles Accounting for Paraguay, by Viktoria Hnatkovska and Friederike
2) Agricultural Performance and Macroeconomic Outcomes in Paraguay, by Hakan
3) Paraguayan Agricultural and Macroeconomic Performance: A Wavelet Approach, by
4) A study of the Volatility of the Agricultural GDP in Paraguay and its impact in the Rest
of the Economy, by Dionisio Borda, Franchesco Anichini, and Julio Ramirez.
This thesis investigates both the time-varing volatility in the labour market after World War II in the United States and the effect of volatility changes of labour productivity on the movements in labour market in a framework of frictional labour search model. The first chapter documents the volatility changes in the U.S. labour market from 1951Q1 to 2007Q1. The time-varying volatility of unemployment, vacancy, job finding rate, job separation rate, and other key variables are presented in a series of stochastic volatility models estimated following a Bayesian approach. It is shown that the volatility of the U.S. labour market experienced a notable moderation after the mid-1980s. The estimated stochastic volatility of labour productivity is used as the driving process when studying an extended version of the model in Chapter 2. Following the findings in Chapter 1, the effect of volatility shocks in labour productivity in the U.S. labour market is investigated in two benchmark models in the second chapter. We first consider a standard labour search model following the calibration approach introduced in Hagedorn and Manovskii (2008). After that, a risk-sharing labour search model with full-commitment contracts following Rudanko (2009) is also introduced for the analysis. It is found that...
We use high-frequency data to study the dynamic relationship between volatility and equity
returns. We provide evidence on two alternative mechanisms of interaction between returns and
volatilities: the leverage effect and the volatility feedback effect. The leverage hypothesis asserts
that return shocks lead to changes in conditional volatility, while the volatility feedback effect
theory assumes that return shocks can be caused by changes in conditional volatility through a
time-varying risk premium. On observing that a central difference between these alternative
explanations lies in the direction of causality, we consider vector autoregressive models of
returns and realized volatility and we measure these effects along with the time lags involved
through short-run and long-run causality measures proposed in Dufour and Taamouti (2008), as
opposed to simple correlations. We analyze 5-minute observations on S&P 500 Index futures
contracts, the associated realized volatilities (before and after filtering jumps through the
bispectrum) and implied volatilities. Using only returns and realized volatility, we find a weak
dynamic leverage effect for the first four hours at the hourly frequency and a strong dynamic
leverage effect for the first three days at the daily frequency. The volatility feedback effect
appears to be negligible at all horizons. By contrast...
In this paper we compare the forecast performance of continuous and discrete-time
volatility models. In discrete time, we consider more than ten GARCH-type models and
an asymmetric autoregressive stochastic volatility model. In continuous-time, a
stochastic volatility model with mean reversion, volatility feedback and leverage. We
estimate each model by maximum likelihood and evaluate their ability to forecast the
two scales realized volatility, a nonparametric estimate of volatility based on highfrequency
data that minimizes the biases present in realized volatility caused by
microstructure errors. We find that volatility forecasts based on continuous-time models
may outperform those of GARCH-type discrete-time models so that, besides other
merits of continuous-time models, they may be used as a tool for generating reasonable
volatility forecasts. However, within the stochastic volatility family, we do not find such
evidence. We show that volatility feedback may have serious drawbacks in terms of
forecasting and that an asymmetric disturbance distribution (possibly with heavy tails)
might improve forecasting.
East Asia has experienced a dramatic
decrease in output growth volatility over the past 20 years.
This is good news, as output growth volatility affects poor
households because of coping strategies that have long-term,
harmful consequences, and the overall economy through its
negative impact on economic growth. This paper investigates
the factors behind this long decline in volatility, and
derives lessons about ways to mitigate renewed upward
pressure in face of the financial crisis. The authors show
that if, on the one hand, high trade openness has sustained
economic growth in the past several decades, on the other
hand, it has made countries more vulnerable to external
fluctuations. Although less frequent terms of trade shocks
and more stable growth rates of trading partners have helped
to reduce volatility in the past, the same external factors
are now putting renewed pressure on volatility. The way
forward seems therefore to be to counterbalance the external
upward pressure on volatility by improving domestic factors.
Elements under domestic control that can help countries deal
with high volatility include more accountable institutions...
This paper adds to aid volatility
literature in three ways: First it tests the validity of the
aid volatility and growth relationship from various aspects:
across different time horizons, by sources of aid, and by
aid volatility interactions with country characteristics.
Second, it investigates the relationship by the level of aid
absorption and spending. Third, when examining the
relationship between International Development Association
aid volatility and growth, it isolates International
Development Association aid volatility due to the recipient
country's performance from that due to other sources.
The findings suggest that, in the long run, on average, aid
volatility is negatively correlated with real economic
growth. But the relationship is not even. It is stronger for
Sub-Saharan African countries than for other regions and it
is not present in middle-income countries or countries with
strong institutions. For economies where aid is fully
absorbed, aid volatility matters for long-run growth;
economies with full aid spending also bear a negative impact
of aid volatility on long-run growth. Where aid is not fully
This paper studies how firm-level export
performance is affected by Real Exchange Rate (RER)
volatility and investigates whether this effect depends on
existing financial constraints. The empirical analysis
relies on export data for more than 100,000 Chinese
exporters over the 2000-6 period. The results confirm a
trade-deterring effect of RER volatility. Firms'
decision to begin exporting and the exported value decrease
for destinations with higher exchange rate volatility;
besides, this effect is magnified for financially vulnerable
firms. As expected, financial development seems to dampen
this negative impact, especially on the intensive margin of
export. These results provide micro-founded evidence
suggesting that the existence of well-developed financial
markets allows firms to hedge exchange rate risk. The
results also support a key role of financial constraints in
determining the macro impact of RER volatility on real outcomes.
In the first part of this work, we propose a new estimation method of the spot volatility, based on a semi-nonparametric model, which employs the information content of a complete panel of European options, daily quoted in the market, under no arbitrage assumptions. The technique we propose is based on the idea of model-free implied volatility and exploits the observed VIX term structure to make inference on the unobserved spot volatility. We show that this new estimation method can be applied to a very general class of stochastic volatility models, such as one-factor or two-factor models. Moreover, the presence of jumps both in return and volatility processes does not affect our spot volatility estimates.
In the second part of the study, we propose a simple and flexible extension of the Heston (1993) model and its multifactor affine versions: the addition of a deterministic volatility factor meant to automatically fit the term structure of model-free implied volatilities. When calibrated on daily panels of FX EURUSD options for 5 strikes (ATM, 25Δ and 10Δ) and 10 maturities (from one week to two years) in the period 2005-2012, we can obtain a pricing error (in terms of RMSE on implied volatility) of 0,167%, and never above 1,72%. The proposed class of models is then a suitable stochastic volatility candidate for fast and arbitrage-free interpolation of the volatility surface.
Ma thèse est composée de trois chapitres reliés à l'estimation des modèles espace-état et volatilité stochastique.
Dans le première article, nous développons une procédure de lissage de l'état, avec efficacité computationnelle, dans un modèle espace-état linéaire et gaussien. Nous montrons comment exploiter la structure particulière des modèles espace-état pour tirer les états latents efficacement. Nous analysons l'efficacité computationnelle des méthodes basées sur le filtre de Kalman, l'algorithme facteur de Cholesky et notre nouvelle méthode utilisant le compte d'opérations et d'expériences de calcul. Nous montrons que pour de nombreux cas importants, notre méthode est plus efficace. Les gains sont particulièrement grands pour les cas où la dimension des variables observées est grande ou dans les cas où il faut faire des tirages répétés des états pour les mêmes valeurs de paramètres. Comme application, on considère un modèle multivarié de Poisson avec le temps des intensités variables, lequel est utilisé pour analyser le compte de données des transactions sur les marchés financières.
Dans le deuxième chapitre, nous proposons une nouvelle technique pour analyser des modèles multivariés à volatilité stochastique. La méthode proposée est basée sur le tirage efficace de la volatilité de son densité conditionnelle sachant les paramètres et les données. Notre méthodologie s'applique aux modèles avec plusieurs types de dépendance dans la coupe transversale. Nous pouvons modeler des matrices de corrélation conditionnelles variant dans le temps en incorporant des facteurs dans l'équation de rendements...
This paper presents estimates of the
effects that terms of trade volatility has on growth of real
gross domestic product per capita. Based on five-year
non-overlapping panel data comprising 175 countries during
1980–2010, the paper finds that: (i) in model specifications
that do not include country fixed effects, terms of trade
volatility has a significant negative average effect on
economic growth; (ii) once country fixed effects are
included in the model, the average effect of terms of trade
volatility on economic growth is not significantly different
from zero; (iii) robust to the inclusion of country fixed
effects, terms of trade volatility has significantly adverse
effects on economic growth in countries with pro-cyclical
fiscal policy; and (iv) in model specifications that do not
include country fixed effects, financial development is a
significant mediating factor with regard to the effect that
terms of trade volatility has on economic growth, however,
the significance of this effect vanishes once country fixed
effects are included in the model. The paper also explores
these relationships for the Organization of Eastern
Caribbean States region. A key conclusion from the research
is that countercyclical fiscal policy and deeper financial
markets will have particularly high payoffs in reducing the
adverse growth effects of terms of trade volatility in the
Organization of Eastern Caribbean States region.